Stressed banks?: evidence from the largest-ever supervisory review

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Bibliographic Details
Authors and Corporations:	Abbassi, Puriya (Author), Iyer, Rajkamal (Author), Peydró, José-Luis (Author), Soto, Paul E. (Author)
Other Authors:	Iyer, Rajkamal [Author] • Peydró, José-Luis [Author] • Soto, Paul E. [Author]
Type of Resource:	E-Book
Language:	English
published:	Frankfurt am Main Deutsche Bundesbank [2020]
Series:	Deutsche Bundesbank: Discussion paper ; no 2020, 26
Subjects:	Asset quality review stress tests supervision risk-masking costs of safe assets Graue Literatur
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen
ISBN:	9783957297112

Description
Summary:	Regulation needs effective supervision; but regulated entities may deviate with unobserved actions. For identification, we analyze banks, exploiting ECB’s asset-quality-review (AQR) and supervisory security and credit registers. After AQR announcement, reviewed banks reduce riskier securities and credit (also overall securities and credit supply), with largest impact on riskiest securities (not on riskiest credit), and immediate negative spillovers on asset prices and firm-level credit supply. Exposed (unregulated) nonbanks buy the shed risk. AQR drives the results, not the end-of-year. After AQR compliance, reviewed banks reload riskier securities, but not riskier credit, with medium-term negative firm-level real effects (costs of supervision/safe-assets increase).
Physical Description:	1 Online-Ressource (circa 55 Seiten); Illustrationen
ISBN:	9783957297112