Document Type
Thesis or dissertation
Date of this Version
2022
Advisor
Itay Goldstein
Abstract
This paper empirically attempts to evaluate whether the information within Federal Reserve Stress Tests changes with public disclosures. In particular, this paper runs a regression discontinuity on the March 2019 changes to stress test transparency. This paper measures market information using the absolute value of cumulative abnormal returns and the abnormal trading volume of the stress test results announcement. Both the Dodd Frank Annual Stress Test and the Comprehensive Capital Analysis and Review are reviewed. Overall, this paper finds no evidence that the public disclosures affected the information generated by Federal Reserve stress tests.
Keywords
Stress Test, Transparency, Macroprudential
Recommended Citation
Blume, J. M. (2022). "The Cost of Stress Test Transparency," Joseph Wharton Scholars. Available at https://repository.upenn.edu/joseph_wharton_scholars/118
Date Posted: 13 June 2022