| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15901 |
| DP15901 Why did bank stocks crash during COVID-19? | |
| Viral Acharya; Robert Engle; Sascha Steffen | |
| 发表日期 | 2021-03-11 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study the crash of bank stock prices during the COVID-19 pandemic. We find evidence consistent with a “credit line drawdown channel”. Stock prices of banks with large ex-ante exposures to undrawn credit lines as well as large ex-post gross drawdowns decline more. The effect is attenuated for banks with higher capital buffers. These banks reduce term loan lending, even after policy measures were implemented. We conclude that bank provision of credit lines appears akin to writing deep out-of-the-money put options on aggregate risk; we show how the resulting contingent leverage and stock return exposure can be incorporated tractably into bank capital stress tests. |
| 主题 | Financial Economics |
| 关键词 | Credit lines Liquidity risk Bank capital Loan supply Stress tests Pandemic Covid-19 |
| URL | https://cepr.org/publications/dp15901-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544893 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Robert Engle,Sascha Steffen. DP15901 Why did bank stocks crash during COVID-19?. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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