Demirgüç-Kunt Asli, Pedraza Alvaro, Ruiz-Ortega Claudia
World Bank, 1818 H Street NW, MSN MC3-633, Washington, D.C. 20433, United States.
J Bank Financ. 2021 Dec;133:106305. doi: 10.1016/j.jbankfin.2021.106305. Epub 2021 Aug 29.
This paper examines the impact of financial sector policy announcements on bank stocks around the world during the onset of the COVID-19 crisis. Overall, we find that liquidity support, borrower assistance programs and monetary easing moderated the adverse impact from the crisis, but their impact varied considerably across banks and countries. By contrast, countercyclical prudential measures led to negative abnormal returns in bank stocks, suggesting that markets price the downside risks associated with these policies.
本文考察了在新冠疫情危机爆发初期，金融部门政策公告对全球银行股的影响。总体而言，我们发现流动性支持、借款人援助计划和货币宽松政策减轻了危机带来的不利影响，但其影响在不同银行和国家之间存在很大差异。相比之下，逆周期审慎措施导致银行股出现负的异常回报，这表明市场对与这些政策相关的下行风险进行了定价。
