Stressed Banks? Evidence from the Largest-Ever Supervisory Review

• 成果类型: Review; Early Access
• 署名作者: Abbassi, Puriya; Iyer, Rajkamal; Peydro, Jose-Luis; Soto, Paul E.
• 署名单位: Deutsche Bundesbank; Imperial College London; ICREA; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.01714
• 发表日期: 2025
• 关键词: corporate real effects from bank credit; asset quality review; Stress tests; supervision; risk-masking; costs of safe assets

摘要

We study short-term and medium-term changes in bank risk-taking as a result of supervision and the associated real effects. For identification, we exploit the European Central Bank's asset-quality-review (AQR) in conjunction with security and credit registers. After the AQR announcement, reviewed banks reduce riskier securities and credit supply, with the greatest effect on riskiest securities. We find negative spillovers on asset prices and firm-level credit availability. Moreover, nonbanks with higher exposure to reviewed banks acquire the shed risk. After the AQR compliance, reviewed banks reload riskier securities but not riskier credit, resulting in negative medium-term firm-level real effects. These effects are especially strong for firms with high ex ante credit risk. Among these nonsafe firms, even those with high ex ante productivity, experience negative real effects. Our findings suggest that banks' liquid assets help them to mask risk from supervisors and risk adjustments banks make in response to supervision have persistent corporate real effects.