Stress tests and model monoculture

• 成果类型: Article
• 署名作者: Rhee, Keeyoung; Dogra, Keshav
• 署名单位: Sungkyunkwan University (SKKU); Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103760
• 发表日期: 2024
• 关键词: STRESS TESTS; adverse selection; Model monoculture; information design

摘要

We study whether regulators should reveal stress test results that contain imperfect information about banks' financial health. Although disclosure restores market confidence in banks, it misclassifies some healthy banks as risky. This encourages banks to choose portfolios deemed safe by regulators, leading to model monoculture and making the financial system less diversified. Under the ex-ante optimal disclosure policy, the regulator addresses this tradeoff by fully revealing stress test results when adverse selection is very severe or very mild, but never disclosing the results otherwise.