Time Inconsistency in Stress Test Design

Markus Parlasca
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引用次数: 1

Abstract

We show that central banks face a time inconsistency problem when publishing bank stress test results. Before a stress test, they want to appear tough as the threat of letting banks fail the stress test incentivizes prudent behaviour. After the stress test, they want to act soft by releasing only partial information in order to reassure financial markets about bank health. We characterize an institutional design solution to this commitment problem: a social planner sets the framework within which the central bank communicates. We find that a hurdle rate framework, where all banks are judged to pass or fail relative to a common threshold, is optimal in many settings as it generates intermediate levels of both incentives and reassurance. With a hurdle rate framework, stress tests become an informational contagion channel, as changes in the health of one bank affect beliefs about the health of other banks. Thus, informational contagion can be a feature of a socially optimal institutional design in the presence of a time inconsistency problem.
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压力测试设计中的时间不一致性
我们发现央行在公布银行压力测试结果时面临时间不一致的问题。在压力测试之前,他们希望表现得强硬,因为让银行无法通过压力测试的威胁会激励审慎的行为。在压力测试之后,他们希望表现得温和一些,只发布部分信息,以便让金融市场对银行的健康状况放心。我们描述了一种针对这一承诺问题的制度设计解决方案:一个社会规划者设定了中央银行沟通的框架。我们发现,门槛利率框架在许多情况下都是最优的,因为它能产生中等水平的激励和保证。在门槛利率框架下,所有银行都要相对于一个共同的门槛来判断是否合格。在最低利率框架下,压力测试成为信息传染渠道,因为一家银行健康状况的变化会影响人们对其他银行健康状况的看法。因此,在存在时间不一致问题的情况下,信息传染可能是社会最优制度设计的一个特征。
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