The Design of Macroprudential Stress Tests
研究了压力测试的设计，通过提供银行组合中的总体和个体风险信息并设定或有资本要求，发现最优静态测试会淘汰所有弱银行和部分强银行以减少污名效应，而序贯测试更优，类似2008年TARP和2009年SCAP的做法。
Abstract We study the design of stress tests that provide information about aggregate and idiosyncratic risk in banks’ portfolios and impose contingent capital requirements. In the optimal static test, an adverse scenario fails all weak and some strong banks, limiting the stigma of failure. Sequential tests outperform static tests. Under natural conditions, the optimal sequential test consists of a precautionary recapitalization, followed by a scenario that fails only weak banks, similar to TARP in 2008, followed by SCAP in 2009. Our results also shed light on the Federal Reserve’s decision to test the banks twice in 2020 during the COVID-19 pandemic. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.