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1、FederalReserveBankofNewYorkStaffReportsTheInformationValueoftheStressTestandBankOpacityStavrosPeristianDonaldP.MorganVanessaSavinoStaffReportno.460July2010Thispaperpresentspreliminaryfindingsandisbeingdistributedtoeconomistsandotherinterestedreaderssolelytostimulat
2、ediscussionandelicitcomments.TheviewsexpressedinthispaperarethoseoftheauthorsandarenotnecessarilyreflectiveofviewsattheFederalReserveBankofNewYorkortheFederalReserveSystem.Anyerrorsoromissionsaretheresponsibilityoftheauthors.TheInformationValueoftheStressTestandBan
3、kOpacityStavrosPeristiani,DonaldP.Morgan,andVanessaSavinoFederalReserveBankofNewYorkStaffReports,no.460July2010JELclassification:G01,G21AbstractWeinvestigatewhetherthe“stresstest,”theextraordinaryexaminationofthenineteenlargestU.S.bankholdingcompaniesconductedbyfed
4、eralbanksupervisorsin2009,producedinformationdemandedbythemarket.Usingstandardeventstudytechniques,wefindthatthemarkethadlargelydecipheredonitsownwhichbankswouldhavecapitalgapsbeforethestresstestresultswererevealed,butthatthemarketwasinformedbythesizeofthegap;given
5、ourproxyfortheexpectedgap,bankswithlargercapitalgapsexperiencedmorenegativeabnormalreturns.Ourfindingssuggestthatthestresstesthelpedquellthefinancialpanicbyproducingvitalinformationaboutbanks.Ourfindingsalsocontributetotheacademicliteratureonbankopacityandthevalueo
6、fgovernmentmonitoringofbanks.Keywords:supervisorycapitalassessmentprogram,capitalgap,eventstudyPeristiani,Morgan,Savino:FederalReserveBankofNewYork(e-mail:stavros.peristiani@ny.frb.org,don.morgan@ny.frb.org,vanessa.savino@ny.frb.org).TheauthorsthankLindaGoldberg,Be
7、verlyHirtle,JamieMcAndrews,SimonPotter,KevinStiroh,PhilStrahan,ZhenyuWang,andseminarparticipantsattheFederalReserveBankofNewYorkforhelpfulcomments.TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflectthepositionoftheFederalReserveBankofNewYorko
8、rtheFederalReserveSystem.Introduction1Manyobservershavelinkedthefinancialpanicof2008tobankopacity.Accordingtothisnarrative,bankinvestorsandcounte
