Determinants of financial distress in large financial institutions: Evidence from U.S. bank holding companies
Determinants of financial distress in large financial institutions: Evidence from U.S. bank holding companies
We investigate determinants of financial distress in large financial institutions based on the Distance-to-Default and Z-Scores measures. Using data of U.S. bank holding companies (BHCs), we find that the housing price index is a consistently significant factor across all BHCs and the non-performing loan ratio is the most powerful indicator for financial distress. Short-term wholesale funding is also a reliable default risk indicator. We additionally find that all the three regulatory capital requirements are very important for controlling default risk, particularly in the post-crisis period.
250-267
Zhang, Zhichao
7a646262-463c-4035-b69b-beb5586b3209
Xie, Li
38c75fe3-02e0-418c-a058-b8130450b0ee
Lu, Xiangyun
0c840852-c46d-449c-8519-c279ce9a0650
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e
1 April 2016
Zhang, Zhichao
7a646262-463c-4035-b69b-beb5586b3209
Xie, Li
38c75fe3-02e0-418c-a058-b8130450b0ee
Lu, Xiangyun
0c840852-c46d-449c-8519-c279ce9a0650
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e
Zhang, Zhichao, Xie, Li, Lu, Xiangyun and Zhang, Zhuang
(2016)
Determinants of financial distress in large financial institutions: Evidence from U.S. bank holding companies.
Contemporary Economic Policy, 34 (2), .
(doi:10.1111/coep.12105).
Abstract
We investigate determinants of financial distress in large financial institutions based on the Distance-to-Default and Z-Scores measures. Using data of U.S. bank holding companies (BHCs), we find that the housing price index is a consistently significant factor across all BHCs and the non-performing loan ratio is the most powerful indicator for financial distress. Short-term wholesale funding is also a reliable default risk indicator. We additionally find that all the three regulatory capital requirements are very important for controlling default risk, particularly in the post-crisis period.
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Accepted/In Press date: 4 January 2015
e-pub ahead of print date: 14 April 2015
Published date: 1 April 2016
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Local EPrints ID: 413574
URI: http://eprints.soton.ac.uk/id/eprint/413574
ISSN: 1074-3529
PURE UUID: c75034dc-c50a-43a5-9cce-2b0d7eadb21c
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Date deposited: 29 Aug 2017 16:30
Last modified: 16 Mar 2024 04:28
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Author:
Zhichao Zhang
Author:
Li Xie
Author:
Xiangyun Lu
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