Full disclosure and financial stability: how does the market digest the transparency shock?

Fausto Pacicco, Luigi Vena () and Andrea Venegoni ()
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Luigi Vena: https://my.liuc.it/persone/Persona.asp?ID=1738
Andrea Venegoni: https://my.liuc.it/persone/persona.asp?ID=1731

LIUC Papers in Economics from Cattaneo University (LIUC)

Abstract: Since macro-prudential stress tests have become the main instruments of the supervisory authorities’ toolkit, the debate on the effect of their results disclosure inflamed. Our work aims at providing a framework that, via a dynamic estimation of the betas, allows to observe the impact of the new information flow on the stability of the banking system. What we find is that, contrary to literature wisdom, almost all banks betas decrease, as the transparency shock contributes to an overall systemic risk drop.

Pages: 37 pages
Date: 2017-02
New Economics Papers: this item is included in nep-ban and nep-cba
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Published in LIUC papers, no.305, 2017 - Economia e Impresa 83

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Persistent link: https://EconPapers.repec.org/RePEc:liu:liucec:305

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