宏观审慎压力测试的设计

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-05-12 DOI:10.1093/rfs/hhad040

Dmitry Orlov, P. Zryumov, Andrzej Skrzypacz

{"title":"宏观审慎压力测试的设计","authors":"Dmitry Orlov, P. Zryumov, Andrzej Skrzypacz","doi":"10.1093/rfs/hhad040","DOIUrl":null,"url":null,"abstract":"\n We study the design of stress tests that provide information about aggregate and idiosyncratic risk in banks' portfolios and impose contingent capital requirements. In the optimal static test, an adverse scenario fails all weak and some strong banks, limiting the stigma of failure. Sequential tests outperform static tests. Under natural conditions, the optimal sequential test consists of a precautionary recapitalization, followed by a scenario that fails only weak banks, similar to TARP in 2008, followed by SCAP in 2009. Our results also shed light on the Federal Reserve’s decision to test the banks twice in 2020 during the COVID-19 pandemic.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":" ","pages":""},"PeriodicalIF":6.8000,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"The Design of Macroprudential Stress Tests\",\"authors\":\"Dmitry Orlov, P. Zryumov, Andrzej Skrzypacz\",\"doi\":\"10.1093/rfs/hhad040\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\n We study the design of stress tests that provide information about aggregate and idiosyncratic risk in banks' portfolios and impose contingent capital requirements. In the optimal static test, an adverse scenario fails all weak and some strong banks, limiting the stigma of failure. Sequential tests outperform static tests. Under natural conditions, the optimal sequential test consists of a precautionary recapitalization, followed by a scenario that fails only weak banks, similar to TARP in 2008, followed by SCAP in 2009. Our results also shed light on the Federal Reserve’s decision to test the banks twice in 2020 during the COVID-19 pandemic.\",\"PeriodicalId\":21124,\"journal\":{\"name\":\"Review of Financial Studies\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":6.8000,\"publicationDate\":\"2023-05-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Financial Studies\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1093/rfs/hhad040\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Financial Studies","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/rfs/hhad040","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 6

摘要

我们研究了压力测试的设计，这些测试提供了有关银行投资组合中总风险和特殊风险的信息，并施加了或有资本要求。在最优的静态测试中，不利的情景让所有实力较弱的银行和一些实力较强的银行都不及格，从而限制了失败的耻辱。顺序测试优于静态测试。在自然条件下，最优的顺序测试包括预防性资本重组，然后是只让弱势银行失败的方案，类似于2008年的问题资产救助计划，然后是2009年的SCAP。我们的研究结果还揭示了美联储在2020年COVID-19大流行期间两次对银行进行测试的决定。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The Design of Macroprudential Stress Tests

We study the design of stress tests that provide information about aggregate and idiosyncratic risk in banks' portfolios and impose contingent capital requirements. In the optimal static test, an adverse scenario fails all weak and some strong banks, limiting the stigma of failure. Sequential tests outperform static tests. Under natural conditions, the optimal sequential test consists of a precautionary recapitalization, followed by a scenario that fails only weak banks, similar to TARP in 2008, followed by SCAP in 2009. Our results also shed light on the Federal Reserve’s decision to test the banks twice in 2020 during the COVID-19 pandemic.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.