Central bank's macroprudential supervisory activities have to fulfill three distinct tasks: (i) assessing the banking system's vulnerability to exogenous adverse turbulence, (ii) evaluating the risk of systemic crisis originating from idiosyncratic shocks, and (iii) measuring financial market's sensitivity to policy stimuli. Given that macroprudential stress tests are the centerpiece of this policy approach, it is important to establish whether they are up to the task. We study how the 2011–2018 European Banking Authority stress tests affected market risk perception and show that they provided agents with valuable information on the policy stances and the vulnerabilities of the banking system, carrying out the above tasks successfully, especially the second and third tasks.
- Macroprudential supervision and agents' information
- Fausto Pacicco (Corresponding Author) - Università Carlo Cattaneo - LIUC, Research field: Management scienceLuigi Vena (Corresponding Author) - Università Carlo Cattaneo - LIUC, Research field: Management scienceAndrea Venegoni (Corresponding Author) - Università Carlo Cattaneo - LIUC, Research field: Economics and statistics
- Journal of financial management, markets and institutions, Vol.9(2, December 2021), pp.1-32
- 2021
- 07/01/2022
- World scientific publishing; Singapore
- 2282-717X
- Online
- 32
- English
- Tutti i diritti sono riservati ai legittimi detentori del copyright. L'Università Carlo Cattaneo - LIUC pubblica i dati relativi alle pubblicazioni di ricerca realizzate dai propri affiliati. La presenza nell'archivio ARL di testi completi non determina in alcun modo la libera riproduzione degli stessi, ma esclusivamente la possibilità della loro consultazione sul sito di ARL.
- Research field: Economics and statistics
- Journal article
- 991000906514005126
