Stress tests and loan pricing-Evidence from syndicated loans

被引：0

作者：

Lambertini, Luisa ^{[1
]}

Mukherjee, Abhik ^{[2
]}

机构：

[1] Ecole Polytech Fed Lausanne, Chair Int Finance, Stn 5,Odyssea ODY 2-05, CH-1015 Lausanne, Switzerland

[2] Univ Cape Town, African Inst Financial Markets & Risk Management, Leslie Commerce 6-26, ZA-7701 Rondebosch, South Africa

来源：

FINANCE RESEARCH LETTERS | 2022年 / 46卷

关键词：

Bank stress tests; Loan price; Syndicated loans; SCAP; CCAR;

D O I：

10.1016/j.frl.2021.102349

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper estimates the impact of stress-testing on lending spreads. We use firm-level data on syndicated loans matched with bank holding company (BHC) data in our panel regressions. Using a difference-in-difference framework, we find: (1) BHCs that failed the stress tests increased their loan pricing; (2) Loan pricing is higher for all BHCs after the commencement of the stress tests. These findings suggest that stress-test failure leads to higher spreads in the syndicated loan market after the great financial crisis.

引用

页数：7

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