压力测试与信息披露
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资源简介
Stress Tests and Information Disclosure
Itay Goldstein， Yaron Leitner
Current draft: November 16, 2015
First draft: June 1, 2013
Abstract
We study an optimal disclosure policy of a regulator that has information
about banks (e.g., from conducting stress tests). We focus on the following
tradeo¤: Disclosing some information may be necessary to prevent a mar-
ket breakdown, but disclosing too much information destroys risk-sharing
opportunities (the Hirshleifer e¤ect). We
nd that during normal times, no
disclosure is optimal, but during bad times, some disclosure is necessary. We
characterize its optimal form, e.g., under what conditions a simple cuto¤ rule
is optimal. We relate our results to the Bayesian persuasion literature.
Keywords: Bayesian persuasion, optimal disclosure, stress tests
