Lending implications of US bank stress tests: Costs or benefits?
Lending implications of US bank stress tests: Costs or benefits?
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DOI：
10.1016/j.jfi.2018.01.004
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发表时间：
2018-04-01
影响因子：
5.2
通讯作者：
Roman, Raluca A.
中科院分区：
文献类型：
--
作者：
Acharya, Viral V.;Berger, Allen N.;Roman, Raluca A.
美国银行压力测试的目的是改善金融体系的稳定性。然而，它们也可能影响银行信贷供应。我们阐述并测试了关于这些影响的相反的假设。我们的发现与风险管理假说是一致的，在该假说下，接受压力测试的银行减少信贷供应--尤其是对风险相对较高的借款人--以降低其信用风险。这些发现不支持道德风险假说，即这些银行扩大信贷供应--尤其是对风险相对较高、利差较高的借款人--这增加了他们的风险。对于较安全的银行、通过压力测试的银行和较早的压力测试，结果通常更强劲。
The U.S. bank stress tests aim to improve financial system stability. However, they may also affect bank credit supply. We formulate and test opposing hypotheses about these effects. Our findings are consistent with the Risk Management Hypothesis, under which stress-tested banks reduce credit supply - particularly to relatively risky borrowers - to decrease their credit risk. The findings do not support the Moral Hazard Hypothesis, in which these banks expand credit supply-particularly to relatively risky borrowers that pay high spreads-increasing their risk. Results are generally stronger for safer banks, banks that passed the stress tests, and the earlier stress tests.