Management Science · 2025 · Puriya Abbassi、Rajkamal Iyer、José-Luis Peydró、Paul E. Soto
中文摘要
我们研究监管所导致的银行风险承担行为的短期与中期变化及其相关的实体效应。为进行识别,我们利用欧洲中央银行的资产质量审查 (AQR),并结合证券与信贷登记数据。AQR 宣布后,接受审查的银行减少风险较高的证券和信贷供给,其中对风险最高的证券影响最大。我们发现其对资产价格和企业层面信贷可得性产生负向溢出效应。此外,对受审查银行敞口较高的非银行机构承接了被剥离的风险。在 AQR 合规之后,受审查银行重新增持风险较高的证券,但不再增持风险较高的信贷,从而导致企业层面出现负向的中期实体效应。对于事前信贷风险较高的企业,这些效应尤为强烈。在这些非安全型企业中,即使事前生产率较高的企业也经历负向的实体效应。我们的发现表明,银行的流动性资产有助于其向监管者掩盖风险,而银行为应对监管所做的风险调整会对企业产生持续的实体效应。
Abstract
We study short-term and medium-term changes in bank risk-taking as a result of supervision and the associated real effects. For identification, we exploit the European Central Bank’s asset-quality-review (AQR) in conjunction with security and credit registers. After the AQR announcement, reviewed banks reduce riskier securities and credit supply, with the greatest effect on riskiest securities. We find negative spillovers on asset prices and firm-level credit availability. Moreover, nonbanks with higher exposure to reviewed banks acquire the shed risk. After the AQR compliance, reviewed banks reload riskier securities but not riskier credit, resulting in negative medium-term firm-level real effects. These effects are especially strong for firms with high ex ante credit risk. Among these nonsafe firms, even those with high ex ante productivity, experience negative real effects. Our findings suggest that banks’ liquid assets help them to mask risk from supervisors and risk adjustments banks make in response to supervision have persistent corporate real effects.