Rollover risk and stress test credibility

Ana Elisa Goncalves Pereira*

*Autor correspondiente de este trabajo

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

Resumen

This paper studies information disclosure when financial supervisors cannot commit to communicate truthfully. A regulator performs a stress test and chooses whether to disclose bank-specific or aggregate results. Results can be biased at a cost (the higher this cost, the more credible the regulator). Manipulating aggregate information may avoid bank failures, but only if credibility is high enough. Supervisors with little credibility cannot prevent systemic runs by misreporting aggregate information and must release bank-specific reports (truthful or not), triggering partial runs. The results have implications for institutional design: ex ante, a social planner would choose an interior level of credibility.

Idioma originalInglés
Páginas (desde-hasta)370-399
Número de páginas30
PublicaciónGames and Economic Behavior
Volumen129
DOI
EstadoPublicada - 1 sept. 2021

Nota bibliográfica

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© 2021 Elsevier Inc.

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