The Evolution of Bank Resolution Policies in Japan: Evidence from Equity Market Values

Posted: 22 Aug 2003

See all articles by Mark M. Spiegel

Mark M. Spiegel

Federal Reserve Bank of San Francisco - Economic Research Department

Nobuyoshi Yamori

Kobe University - Research Institute for Economics & Business Administration

Abstract

We examine the evidence in equity markets concerning bank regulatory policies in Japan from 1995 to 1999. Our results support the presence of information-based contagion in Japanese equity markets. When the failure of a bank of certain regulatory status was announced, it adversely affected excess returns on banks with equal or lower levels of regulatory protection. Market participants therefore initially behaved as if only Second Regional and smaller banks would be allowed to fail. As the situation deteriorated, however, banks that traditionally enjoyed greater regulatory protection were also perceived to lose their too-big-to-fail status.

JEL Classification: G21, G38

Suggested Citation

Spiegel, Mark M. and Yamori, Nobuyoshi, The Evolution of Bank Resolution Policies in Japan: Evidence from Equity Market Values. Available at SSRN: https://ssrn.com/abstract=395520

Mark M. Spiegel (Contact Author)

Federal Reserve Bank of San Francisco - Economic Research Department ( email )

101 Market Street
San Francisco, CA 94105
United States
415-974-3184 (Phone)
415-974-2168 (Fax)

HOME PAGE: http://www.frbsf.org/economics/economists/mspiegel.html

Nobuyoshi Yamori

Kobe University - Research Institute for Economics & Business Administration ( email )

2-1, Rokkodai cho
Nada-ku
Kobe, 657-8501
Japan

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