Are stress‐tested banks in the United States becoming similar? Evidence from convergence tests
研究了美国压力测试银行在盈利能力、风险承担和系统性风险贡献上是否趋于一致，发现压力测试导致收入多元化策略收敛，可能使金融系统更易受危机冲击。
Abstract US bank stress tests were introduced to improve the risk posture and management practices of large and complex banking institutions. We investigate whether stress‐tested banks in the United States converge to each other in their levels and determinants of profitability, as well as their risk taking and systemic risk contributions. Our results are consistent with convergence in profitability, asset quality, management quality, securitization income, and income diversification of stress‐tested banks. Our difference‐in‐differences estimation results provide causal evidence of stress tests leading to convergence in income diversification. Furthermore, stress‐tested banks converge in their income diversification strategies, return volatility, default risk, leverage risk, and systemic risk contributions. This study sheds light on a situation where these banks may simultaneously have exposure to the same risks, leaving the financial system more vulnerable to a crisis as a result of the exposed risk.