Equity and Bond Market Signals as Leading Indicators of Bank Fragility
分析欧盟银行样本中违约距离和次级债券利差对银行脆弱性的预警能力，发现两者具有先行性，且隐性安全网会削弱利差的预测力，市场指标能减少仅依赖会计信息的第二类错误。
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 6-18 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 insignificant. The results suggest that market indicators reduce type II errors relative to predictions based on accounting information only.