Publication
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.
Andreas Mortensen, David Hernandez Escobar, Léa Deillon, Alejandra Inés Slagter, Eva Luisa Vogt, Jonathan Aristya Setyadji
Christophe Marcel Georges Galland, Valeria Vento, Sachin Suresh Verlekar, Philippe Andreas Rölli
Katie Sabrina Catherine Rosie Marsden