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    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Financial Stability. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Stability, 37, 2018 DOI: 10.1016/j.jfs.2018.05.003

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The dark side of stress tests: Negative effects of information disclosure

Research output: Contribution to journalJournal articlepeer-review

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The dark side of stress tests : Negative effects of information disclosure. / Goncharenko, Roman; Hledik, Juraj; Pinto, Roberto.

In: Journal of Financial Stability, Vol. 37, 08.2018, p. 49-59.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Goncharenko, R, Hledik, J & Pinto, R 2018, 'The dark side of stress tests: Negative effects of information disclosure', Journal of Financial Stability, vol. 37, pp. 49-59. https://doi.org/10.1016/j.jfs.2018.05.003

APA

Vancouver

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Goncharenko, Roman ; Hledik, Juraj ; Pinto, Roberto. / The dark side of stress tests : Negative effects of information disclosure. In: Journal of Financial Stability. 2018 ; Vol. 37. pp. 49-59.

Bibtex

@article{1a042a3dad02433fa91750f96a9d70e8,
title = "The dark side of stress tests: Negative effects of information disclosure",
abstract = "This paper studies the effect of information disclosure on banks{\textquoteright} portfolio risk. We cast a simple banking system into a general equilibrium model with trading frictions. We find that the information disclosure lowers the expected risk-adjusted profits for a non-negligible fraction of banks. The magnitude of this effect depends on the structure of the banking system and, alarmingly, it is more pronounced for systemically important institutions. We connect these theoretical findings to the stress test procedure, where bank information is disclosed by the regulator. The 2011 and 2014 stress tests are used in an empirical study to further support our theoretical results.",
keywords = "Information disclosure, General equilibrium, Systemic risk",
author = "Roman Goncharenko and Juraj Hledik and Roberto Pinto",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Financial Stability. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Stability, 37, 2018 DOI: 10.1016/j.jfs.2018.05.003",
year = "2018",
month = aug,
doi = "10.1016/j.jfs.2018.05.003",
language = "English",
volume = "37",
pages = "49--59",
journal = "Journal of Financial Stability",
issn = "1572-3089",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - The dark side of stress tests

T2 - Negative effects of information disclosure

AU - Goncharenko, Roman

AU - Hledik, Juraj

AU - Pinto, Roberto

N1 - This is the author’s version of a work that was accepted for publication in Journal of Financial Stability. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Stability, 37, 2018 DOI: 10.1016/j.jfs.2018.05.003

PY - 2018/8

Y1 - 2018/8

N2 - This paper studies the effect of information disclosure on banks’ portfolio risk. We cast a simple banking system into a general equilibrium model with trading frictions. We find that the information disclosure lowers the expected risk-adjusted profits for a non-negligible fraction of banks. The magnitude of this effect depends on the structure of the banking system and, alarmingly, it is more pronounced for systemically important institutions. We connect these theoretical findings to the stress test procedure, where bank information is disclosed by the regulator. The 2011 and 2014 stress tests are used in an empirical study to further support our theoretical results.

AB - This paper studies the effect of information disclosure on banks’ portfolio risk. We cast a simple banking system into a general equilibrium model with trading frictions. We find that the information disclosure lowers the expected risk-adjusted profits for a non-negligible fraction of banks. The magnitude of this effect depends on the structure of the banking system and, alarmingly, it is more pronounced for systemically important institutions. We connect these theoretical findings to the stress test procedure, where bank information is disclosed by the regulator. The 2011 and 2014 stress tests are used in an empirical study to further support our theoretical results.

KW - Information disclosure

KW - General equilibrium

KW - Systemic risk

U2 - 10.1016/j.jfs.2018.05.003

DO - 10.1016/j.jfs.2018.05.003

M3 - Journal article

VL - 37

SP - 49

EP - 59

JO - Journal of Financial Stability

JF - Journal of Financial Stability

SN - 1572-3089

ER -