Stressed Banks? Evidence from the Largest-Ever Supervisory Review

References

• Abbassi P, Bräuning F (2021) Demand effects in the FX forward market: Micro evidence from banks’ dollar hedging. Rev. Financial Stud. 34(9):4177–4215.Crossref, Google Scholar
• Abbassi P, Schmidt M (2018) A comprehensive view on risk reporting: Evidence from supervisory data. J. Financial Intermediary 36:74–85.Crossref, Google Scholar
• Abbassi P, Iyer R, Peydró JL, Tous FR (2016) Securities trading by banks and credit supply: Micro-evidence from the crisis. J. Financial Econom. 121(3):569–594.Crossref, Google Scholar
• Acharya V, Engle R, Pierret D (2014) Testing macroprudential stress tests: The risk of regulatory risk weights. J. Monetary Econom. 65:36–53.Crossref, Google Scholar
• Acharya V, Schnabl P, Suarez G (2013) Securitization without risk transfer. J. Financial Econom. 107(3):515–536.Crossref, Google Scholar
• Agarwal S, Lucca D, Seru A, Trebbi F (2014) Inconsistent regulators: Evidence from banking. Quart. J. Econom. 129(2):889–938.Crossref, Google Scholar
• Allen L, Saunders A (1992) Bank window dressing: Theory and evidence. J. Bank. Finance 16(3):585–632.Crossref, Google Scholar
• Altonji J, Todd E, Taber C (2005) Selection on observed and unobserved variables: Assessing the effectiveness of catholic schools. J. Political Econom. 113(1):151–184.Crossref, Google Scholar
• Amann M, Baltzer M, Schrape M (2012) Microdatabase: Securities Holdings Statistics, a flexible multi-dimensional approach for providing user-targeted securities investments data. https://www.bundesbank.de/resource/blob/615884/d8b25eb0f92c70e18f390001834fac76/mL/microdatabase-securities-holdings-statistics-data.pdf.Google Scholar
• Anbil S, Senyuz Z (2018) The regulatory and monetary policy nexus in the repo market, Finance and Economics Discussion Series 2018-027. https://doi.org/10.17016/FEDS.2018.027.Google Scholar
• Banegas A, Tase M (2020) Reserve balances, the federal funds market and arbitrage in the new regulatory framework. J. Banking Finance 118:105893.Google Scholar
• Becker B, Opp M (2013) Regulatory reform and risk-taking: Replacing ratings. NBER Working Paper No. 19257, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Boyson N, Fahlenbrach R, Stulz RM (2016) Why don’t all banks practice regulatory arbitrage? Evidence from usage of trust-preferred securities. Rev. Financial Stud. 29(7):1821–1859.Crossref, Google Scholar
• Buchak G, Matvos G, Piskorski T, Seru A (2018) Fintech, regulatory arbitrage, and the rise of shadow banks. J. Financial Econom. 130(3):453–483.Crossref, Google Scholar
• Cenedese G, Della Corte P, Wang T (2021) Currency mispricing and dealer balance sheets. J. Finance 76:2763–2803.Crossref, Google Scholar
• Coen W (2017) Regulatory equivalence and the global regulatory system. Keynote address by Mr William Coen, Secretary General of the Basel Committee, at the International Financial Services Forum, London, Thursday 25 May 2017.Google Scholar
• Demirguc‐Kunt A, Detragiache E, Merrouche O (2013) Bank capital: Lessons from the financial crisis. J. Money Credit Bank. 45(6):1147–1164.Crossref, Google Scholar
• Du W, Tepper A, Verdelhan A (2018) Deviations from covered interest rate parity. J. Finance 73(3):915–957.Crossref, Google Scholar
• Duffie D (2019) Prone to fail: The pre-crisis financial system. J. Econom. Perspective 33(1):81–106.Crossref, Google Scholar
• ECB (2005) The new Basel capital framework and its implementation in the European Union, ECB Occasional Paper Series No. 42. https://www.ecb.europa.eu/pub/pdf/scpops/ecbocp42.pdf.Google Scholar
• ECB (2013) Note comprehensive assessment October 2013. https://www.ecb.europa.eu/pub/pdf/other/notecomprehensiveassessment201310en.pdf.Google Scholar
• ECB (2014) Aggregate report on the comprehensive assessment. https://www.ecb.europa.eu/pub/pdf/other/aggregatereportonthecomprehensiveassessment201410.en.pdf.Google Scholar
• Farhi E, Tirole J (2021) Shadow banking and the four pillars of traditional financial intermediation. Rev. Econom. Stud. 88(6):2622–2653.Crossref, Google Scholar
• Glaeser EL, Shleifer A (2001) A reason for quantity regulation. Amer. Econom. Rev. 91(2):431–435.Crossref, Google Scholar
• Goldstein I, Sapra H (2014) Should banks’ stress test results be disclosed? An analysis of the costs and benefits. Foundations Trends Finance 8(1):1–54.Crossref, Google Scholar
• Gorton G, Lewellen S, Metrick A (2012) The safe-asset share. Amer. Econom. Rev. 102(3):101–106.Crossref, Google Scholar
• Granja J, Leuz C (2019) The death of a regulator: Strict supervision, bank lending and business activity. NBER Working Paper No. 24168, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Granja J, Matvos G, Seru A (2017) Selling failed banks. J. Finance 72(4):1723–1784.Crossref, Google Scholar
• Halvorsen R, Palmquist R (1980) The interpretation of dummy variables in semilogarithmic equations. Amer. Econom. Rev. 70(3):474–475.Google Scholar
• Hellwig MF (2010) Capital regulation after the crisis: Business as usual? Preprint, submitted July 21, http://dx.doi.org/10.2139/ssrn.1645224.Google Scholar
• Hirtle B, Kovner A, Plosser MC (2020) The impact of supervision on bank performance. J. Finance 75(5):2765–2808.Crossref, Google Scholar
• Irani RM, Iyer R, Meisenzahl RR, Peydro JL (2021) The rise of shadow banking: Evidence from capital regulation. Rev. Financial Stud. 34(5):2181–2235.Crossref, Google Scholar
• Joint Committee of the European Supervisory Authorities (2014) Mapping of Standard & Poor’s ratings services’ credit assessments under the standardized approach. https://register.eiopa.europa.eu/Publications/Consultations/Draft%20Mapping%20Report%20-%20Fitch.pdf.Google Scholar
• Khwaja AI, Mian A (2008) Tracing the impact of bank liquidity shocks: Evidence from an emerging market. Amer. Econom. Rev. 98(4):1413–1442.Crossref, Google Scholar
• Kotomin V, Winters D (2006) Quarter-end effects in banks: Preferred habitat or window dressing? J. Financial Service Res. 29(1):61–82.Crossref, Google Scholar
• Lucca D, Seru A, Trebbi F (2014) The revolving door and worker flows in banking regulation. J. Monetary Econom. 65:17–32.Crossref, Google Scholar
• Martinez-Miera D, Repullo R (2019) Markets, banks, and shadow banks. Preprint, submitted February 5, http://dx.doi.org/10.2139/ssrn.3328369.Google Scholar
• Morgan D (2002) Rating banks: Risk and uncertainty in an opaque industry. Amer. Econom. Rev. 92(4):874–888.Crossref, Google Scholar
• Munyan BK (2015) Regulatory arbitrage in repo markets. Preprint, submitted November 3, http://dx.doi.org/10.2139/ssrn.2685592.Google Scholar
• Myers SC, Rajan RG (1998) The paradox of liquidity. Quart. J. Econom. 113(3):733–771.Crossref, Google Scholar
• Owens E, Wu J (2015) Quarter-end repo borrowing dynamics and bank risk opacity. Rev. Accounting Stud. 20(3):1164–1209.Crossref, Google Scholar
• Petersen MA, Rajan RG (1995) The effect of credit market competition on lending relationships. Quart. J. Econom. 110(2):407–443.Crossref, Google Scholar
• Plantin G (2014) Shadow banking and bank capital regulation. Rev. Financial Stud. 28(1):146–175.Crossref, Google Scholar
• Posner RA (1975) The social costs of monopoly and regulation. J. Political Econom. 83(4):807–827.Crossref, Google Scholar
• Schild C-J, Schultz S, Wieser F (2017) Linking Deutsche Bundesbank company data using machine-learning-based classification. Technical Report 2017-01, Deutsche Bundesbank Research Data and Service Centre.Google Scholar
• Standard & Poor’s Ratings Services (2012) Default, transition, and recovery: 2012 annual global corporate default study and rating transitions. https://www.maalot.co.il/publications/FTS20131219112224.pdf.Google Scholar
• Stigler GJ (1971) The theory of economic regulation. Bell J. Econom. Management Sci. 2(1):3–21.Crossref, Google Scholar
• Tarullo DK (2014) Stress testing after five years. Speech given at the Federal Reserve Third Annual Stress Test Modelling Symposium, Boston, Massachusetts. https://www.federalreserve.gov/newsevents/speech/tarullo20140625a.htm.Google Scholar
• Van Horen N, Kotidis A (2018) Repo market functioning: The role of capital regulation. Working Paper No. 746, Bank of England, London.Google Scholar