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Research Monograph Bail-in, Implementability and Policy Implications October 31, 2016

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Series No. 2016-03

Research Monograph KOR Bail-in, Implementability and Policy Implications #Financial Supervisory and Policy #Risk Management #General(Other)
DOIhttps://doi.org/10.22740/kdi.rm.2016.03 P-ISBN979-11-5932-185-6 E-ISBN979-11-5932-198-6

October 31, 2016

  • 프로필
    HWANG,Sunjoo
Summary
This paper examines the implementability of bail-in―a special bank resolution regime that reorganizes failed banks at the expense of creditors not taxpayers. In the first part of the paper, I consider the statutory bail-in case. I find theoretically the existence of multiple equilibria. If investors believe that the government will choose bailout (bail-in) in case of bank failure, the government indeed chooses bailout (bail-in). I also find that the depositor preference could be a commitment device by which the government can persuade the investors that it will choose bail-in. In the second part of the paper, I consider the contingent convertible bond (or CoCo bond), which is designed as a contractual bail-in tool. I find theoretically the same existence of multiple equilibria. Also, I show that if the government requires CoCo bond issuing banks to use rule-based triggers instead of discretionary triggers, the government can credibly persuade investors that it is tough. As a result, the equilibrium interest rates of CoCo bonds with discretionary triggers are lower than that with rule-based triggers. I confirm this theoretic prediction by conducting an empirical study. Using a CoCo bond issuance dataset from Moody’s and Bloomberg, I find that the interest rate gap is on average 2.5~3%p. The theoretic and empirical analyses imply that CoCo bonds with a discretionary trigger does not work effectively as a contractual bail-in tool.
Contents
발간사
요 약

제1장 서 론
 제1절 기존 연구

제2장 베일인의 개괄
 제1절 베일인 체제의 도입배경과 중요성
 제2절 행정명령형 베일인 개괄
 제3절 계약형 베일인 개괄: 조건부자본증권

제3장 베일인의 실행 가능성: 베일아웃으로의 회귀?
 제1절 베일인은 실행 가능한가?
 제2절 이탈리아 사례
 제3절 우리나라 사례
 제4절 공약문제(commitment problem)

제4장 행정명령형 베일인
 제1절 (이론분석) 사후적 실행 가능성: 사전 정리정책의 중요성
 제2절 (이론분석) 예금자우선변제의 효과
 제3절 (이론분석) 베일인의 사회후생효과
 제4절 소결

제5장 계약형 베일인(조건부자본증권)
 제1절 (이론분석) 발동형태, 실행 가능성, 베일인 위험 프리미엄
 제2절 (실증분석) 발동형태, 실행 가능성, 베일인 위험 프리미엄
 제3절 소결

제6장 정책적 시사점
 제1절 효과적인 정리를 위한 사전 준비
 제2절 예금자우선변제제도
 제3절 코코본드 발동형태 관련 정책

제7장 결 론

참고문헌
부 록
ABSTRACT
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