Stress tests and information disclosure

• 成果类型: Article
• 署名作者: Goldstein, Itay; Leitner, Yaron
• 署名单位: University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2018.05.013
• 发表日期: 2018
• 页码: 34-69
• 关键词: Bayesian persuasion; Optimal disclosure; Stress tests; Bank regulation; adverse selection

摘要

We study an optimal disclosure policy of a regulator that has information about banks (e.g., from conducting stress tests). In our model, disclosure can destroy risk-sharing opportunities for banks (the Hirshleifer effect). Yet, in some cases, some level of disclosure is necessary for risk sharing to occur. We provide conditions under which optimal disclosure takes a simple form (e.g., full disclosure, no disclosure, or a cutoff rule). We also show that, in some cases, optimal disclosure takes a more complicated form (e.g., multiple cutoffs or nonmonotone rules), which we characterize. We relate our results to the Bayesian persuasion literature. (C) 2018 Elsevier Inc. All rights reserved.