| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28559 |
| 来源ID | Working Paper 28559 |
| Why Did Bank Stocks Crash During COVID-19? | |
| Viral V. Acharya; Robert F. Engle III; Sascha Steffen | |
| 发表日期 | 2021-03-15 |
| 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 ; Financial Institutions ; COVID-19 |
| URL | https://www.nber.org/papers/w28559 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586231 |
| 推荐引用方式 GB/T 7714 | Viral V. Acharya,Robert F. Engle III,Sascha Steffen. Why Did Bank Stocks Crash During COVID-19?. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28559.pdf（6977KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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