Publication
This paper estimates the impact of stress-testing on lending spreads. We use firm-level data onsyndicated 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 testsincreased their loan pricing; (2) Loan pricing is higher for all BHCs after the commencementof the stress tests. These findings suggest that stress-test failure leads to higher spreads in thesyndicated loan market after the great financial crisis.
Andreas Mortensen, David Hernandez Escobar, Léa Deillon, Alejandra Inés Slagter, Eva Luisa Vogt, Jonathan Aristya Setyadji
John Martin Kolinski, Chenzhuo Li, Xinyue Wei
Danick Briand, Nicolas Francis Fumeaux