全球智库信息集成服务系统(G2TT): DP16157 The disciplining effect of supervisory scrutiny in the EU-wide stress test

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP16157
	DP16157 The disciplining effect of supervisory scrutiny in the EU-wide stress test
	Christoffer Kok; Carola Müller; Steven Ongena; Cosimo Pancaro
发表日期	2021-05-15
出版年	2021
语种	英语
摘要	Using a difference-in-differences approach and relying on confidential supervisory data and an unique proprietary data set available at the European Central Bank related to the 2016 EU-wide stress test, this paper presents novel empirical evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We find that banks that participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this exercise. Relying on new metrics for supervisory scrutiny that measure the quantity, potential impact, and duration of interactions between banks and supervisors during the stress test, we find that the disciplining effect is stronger for banks subject to more intrusive supervisory scrutiny during the exercise.
主题	Financial Economics
关键词	Stress testing Credit risk Internal models Banking supervision Banking regulation
URL	https://cepr.org/publications/dp16157
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/545130
推荐引用方式 GB/T 7714	Christoffer Kok,Carola Müller,Steven Ongena,et al. DP16157 The disciplining effect of supervisory scrutiny in the EU-wide stress test. 2021.