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Impact of Regulatory Stress Tests on Banking Sectors in the EU and US 

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Impact of Regulatory Stress Tests on banking Sectors in the EU and US

Lukáš MAJER

 

 Abstract

 

 Simulating the conditions of economic recession and estimating its impact on bank risks and performance can help banks to prepare its portfolios for negative consequences of financial shocks. In this context regulators worldwide conducted series of system wide stress tests with the motivation to assess the financial institution health. The primary goal of this article is to analyze the significance of regulatory system wide stress tests impact on individual bank institutions and the banking sector as a whole. The analysis was performed in two phases.  At first, to identify short term impact, we analyzed changes in the bank share price volatility, during the period of stress test results announcement. In the second phase, we constructed a linear autoregressive model (AR2) with structural dummy variables representing the stress test results announcement shocks. Consequently, we assessed the shock variables’ significance and its direction of influence on bank shares in long run.  The analysis was performed in two different stress testing environments carried out by the European Banking Authority (EBA) and the US Federal Reserve System (FED), and covered two system wide stress tests within the period of 2012 – 2017. We see the main contribution of the paper in assessment of regulatory stress test impact on the EU and US banking sector. Performed analysis was primarily based on market sensitivity to external shocks assuming market efficiency to enable the evaluation of banking institutions’ health and the sustainability of their businesses. The output of the analysis indicates, that the release of system wide stress test results had a significant impact on banking sector performance, especially in the US market.

Keywords:  risk management, stress testing, volatility, EBA, FED

JEL classification: G31, E58 

 

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