Stress Testing and Bank Lending

• 成果类型: Article
• 署名作者: Shapiro, Joel; Zeng, Jing
• 署名单位: University of Oxford; University of Bonn
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad086
• 发表日期: 2024
• 页码: 1265
• 关键词: Reputation; POLICY; RISK

摘要

Stress tests convey information about the strictness of future tests, creating incentives for banks to alter their future lending behavior. Regulators recognize and use this influence: they may conduct softer stress tests to encourage lending or tougher stress tests to reduce risk-taking. This information management can lead to inefficiencies when (a) the test loses credibility or (b) the test becomes self-fulfilling. In addition, banks may distort their lending behavior in anticipation of the stress test design, leading to further surplus losses. The analysis applies to banking supervision and regulation more broadly.