Why Did Bank Stocks Crash during COVID-19?
研究提出“信贷额度渠道”解释银行股在疫情期间暴跌后部分回升：银行对未提取信贷额度的敞口越大，股价跌幅越大，但危机前表现更好；高提取导致贷款减少，而还款释放资本，推动2020年第二季度股价回升。
Abstract A two-sided “credit-line channel”—relating to drawdowns and repayments—explains the severe drop and partial subsequent recovery in bank stock prices during the COVID-19 pandemic. Banks with greater exposure to undrawn credit lines saw larger stock price declines but performed better outside of crises periods. Despite deposit inflows, high drawdowns led to reduced bank lending, suggestive of capital encumbrance upon drawdowns. Repayments of credit lines unencumbered capital which explains the stock price recovery starting Q2 2020. Bank provision of credit lines resembles writing put options on aggregate risk, and we propose how to incorporate this feature into bank stress tests.