Does macroprudential policy alleviate the adverse impact of COVID-19 on the resilience of banks?
研究了2020年1-3月疫情期间，52个国家银行股票收益与危机前宏观审慎政策的关系，发现收紧政策整体上降低了银行系统性风险，但资本附加费反而压低了银行股票收益。
This paper examines the resilience of banks as perceived by market participants during the COVID-19 crisis. We analyse how bank stock returns during January-March 2020 relate to the pre-crisis activation of macroprudential policy across 52 countries in a cross-sectional dimension. We find that, overall, a tighter macroprudential policy stance is beneficial for bank systemic risk, as assessed by equity market investors. A robust finding is that a perceived decrease in bank risk stems primarily from the use of credit growth limits, reserve requirements, and dynamic provisioning. By contrast, a pre-crisis build-up of capital surcharges on systemically important financial institutions seems to lower bank stock returns. Alternative bank risk indicators suggest that the latter is likely to be driven by concerns about profits rather than the probability of default.