Equity and bond market signals as leading indicators

Journal of Money, Credit, and Banking Volume 38, Number 2, March pp.

iMarketSignals - weekly updated indicators from mathematical models

We analyse the ability of the distance to default and subordinated bond spreads to signal bank fragility in a sample of EU banks. We find leading properties for both indicators.

The distance to default exhibits lead times of months. Spreads have signal value close to problems only.

We also find that implicit safety nets weaken the predictive power of spreads. Further, the results suggest complementarity between both indicators. We also examine the interaction of the indicators with other information and find that their additional information content may be small but not insignifi- cant.

The results suggest that market indicators reduce type II errors relative to predictions based on accounting information only.

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British Sterling Imperialism, Settler Colonialism and the Political Economy of Money and Equity and bond market signals as leading indicators in Southern Rhodesia, to The Rise and Fall of African Indigenous Entrepreneurs' Economic Equity and bond market signals as leading indicators in Lesotho, — Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues.

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Equity and Bond Market Signals as Leading Indicators of Bank Fragility.

EconPapers: Equity and bond market signals as leading indicators of bank fragility

Reint GroppJukka VesalaGiuseppe Vulpes. Abstract We analyse the ability of the distance to default and subordinated bond spreads to signal bank fragility in a sample of EU banks.

British Sterling Imperialism, Settler Colonialism and the Political Economy of Money and Finance in Southern Rhodesia, to The Rise and Fall of African Indigenous Entrepreneurs' Economic Solidarity in Lesotho, — Testing for Market Discipline in the European Banking Industry: You have access to this content Free sample Open Access Restricted Access.

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