We examine the effect of bank bail-in debt on investor risk perception after the implementation of the BRRD I in 2016. Using a sample of 62 banks from 14 European countries during 2009Q3–2019Q2, we find that bail-in debt yields increased compared with non bail-in debt instruments after 2016. Moreover, our results indicate that the increased risk sensitiveness for bail-in debt after the implementation of the BRRD I is more relevant in the case of smaller, less-capitalized and more efficient banks. Furthermore, issues of lower relative volume are also perceived as riskier. Results for the banking sector variables reveal that the new regulatory framework contributes more to the increase in yields of bail-in debt in countries with less concentrated and more profitable banking sectors and in less sound and larger banking systems. The results are robust to different model specifications, to potential endogeneity concerns and to different robustness tests.

我们研究了 2016 年 BRRD I 实施后银行纾困债务对投资者风险认知的影响。利用 2009 年第三季度至 2019 年第二季度来自 14 个欧洲国家的 62 家银行的样本，我们发现，与2016 年之后的非内部纾困债务工具。此外，我们的结果表明，实施 BRRD I 后内部纾困债务的风险敏感性增加对于规模较小、资本较少和效率较高的银行而言更为相关。此外，相对数量较低的问题也被认为风险较高。银行业变量的结果表明，在银行业集中度较低且利润较高的国家以及银行体系不太健全且规模较大的国家，新的监管框架对提高内部纾困债务收益率的贡献更大。