Federal Reserve Bank of New York Staff Reports纽约银行.pdfVIP

Federal Reserve Bank of New York Staff Reports The Information Value of the Stress Test and Bank Opacity Stavros Peristian Donald P. Morgan Vanessa Savino Staff Report no. 460 July 2010 This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the authors and are not necessarily reflective of views at the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the authors. The Information Value of the Stress Test and Bank Opacity Stavros Peristiani, Donald P. Morgan, and Vanessa Savino Federal Reserve Bank of New York Staff Reports, no. 460 July 2010 JEL classification: G01, G21 Abstract We investigate whether the “stress test,” the extraordinary examination of the nineteen largest U.S. bank holding companies conducted by federal bank supervisors in 2009, produced information demanded by the market. Using standard event study techniques, we find that the market had largely deciphered on its own which banks would have capital gaps before the stress test results were revealed, but that the market was informed by the size of the gap; given our proxy for the expected gap, banks with larger capital gaps experienced more negative abnormal returns. Our findings suggest that the stress test helped quell the financial panic by producing vital information about banks. Our findings also contribute to the academic literature on bank opacity and the value of government monitoring of banks. Key words: supervisory capital assessment program, capital gap, event study Peristiani, Morgan, S