Credit line exposures worsened Covid bank stock crash – NBER paper
Authors suggest “contingent leverage” could be included in stress tests
Banks with greater exposures via undrawn credit lines suffered sharper stock price falls during the Covid-19 crisis, new research finds.
Authors Viral Acharya, Robert Engle and Sascha Steffen construct a new measure of banks’ balance-sheet liquidity risk, comprised of “undrawn commitments” and wholesale finance minus cash or cash equivalents.
“We show that our measure of the liquidity risk of banks is important to understand the decline of bank stock prices during the first phase of the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe
You are currently unable to print this content. Please contact info@centralbanking.com to find out more.
You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com