Incorporating Equity Market Information into Supervisory Monitoring Models
研究股票回报和基于股票的违约概率等市场变量能否帮助美国银行监管者评估银行控股公司的状况，发现市场信息虽不提升预测准确度，但仍有助于预测监管评级变化。
We examine whether equity market variables, such as stock returns and equity-based default probabilities, are useful to U.S. bank supervisors for assessing the condition of domestic bank holding companies. We develop a model of supervisory ratings that combines supervisory and equity market information. We find that the model's forecasts anticipate supervisory rating changes by up to four quarters. Relative to simply using supervisory variables, the inclusion of equity market variables in the model does not improve forecast accuracy. However, we argue that equity market information should still be useful for forecasting supervisory ratings and should be incorporated into supervisory monitoring models.