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Title: Communication and financial supervision: how does disclosure affect market stability?
Authors: Pacicco, Fausto
Vena, Luigi
Venegoni, Andrea
Issue Date: 2020
Publisher: Elsevier
Bibliographic citation: Pacicco Fausto, Vena Luigi, Venegoni Andrea (2020), Communication and financial supervision: how does disclosure affect market stability?. In: Journal of empirical finance, vol. 57, June 2020, p. 1-15. ISSN 0927-5398. DOI 10.1016/j.jempfin.2020.01.002.
Abstract: The impact of authorities’ information disclosure on social welfare and market stability has become a widely debated topic since the contribution of Morris and Shin (2002). Despite several theoretical works, this strand of literature remains void of empirical contributions. By assessing how disclosure of stress test results influences market risk perception, we provide factual evidence on how authorities’ enhanced communication affects financial markets’ stability. Our results provide empirical evidence to support Faria-e-Castro et al.’s (2017) theoretical findings, demonstrating that severe stress tests, if enacted in countries with credible fiscal capacity such as the U.S., can lead agents to revise their risk estimations downwards for all banks, notwithstanding their performance in the exercise.
Journal/Book: Journal of empirical finance
ISSN: 0927-5398
Appears in Collections:Contributo in rivista

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