## 1. U.S. and EU-wide Stress Tests (2009–2013)

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### Major themes
- Comparative overview of U.S. and EU-wide stress tests covering the period 2009–2013.
- Event-study analysis combined with a governance comparison to identify which aspects of stress-test design and governance matter most to market reactions.
- Placement in the document: section begins on page 6.

### Methodology
- Events considered:
  - Announcements and publications of stress tests by the U.S. Federal Reserve and the EBA/CEBS for all U.S. and EU-wide stress tests during 2009–2013.
- Exercises included:
  - U.S.: 2009 SCAP, 2012 CCAR, 2013 CCAR.
  - EU: 2009 CEBS, 2010 CEBS, 2011 EBA, 2012 EU capital exercise.
- Announcement and results-release dates (as reported):
  - 2009 SCAP U.S.: Announcement Feb 10, 2009 — Results release May 7, 2009
  - 2009 CEBS EU: Announcement May 12, 2009 — Results release Oct 1, 2009
  - 2010 CEBS EU: Announcement Dec 2, 2009 — Results release Jul 23, 2010
  - 2011 EBA EU: Announcement Jan 13, 2011 — Results release Jul 15, 2011
  - 2012 CCAR U.S.: Announcement Nov 22, 2011 — Results release Mar 13, 2012
  - 2012 EU capital exercise: Announcement Dec 8, 2011 — Results release Oct 3, 2012
  - 2013 CCAR U.S.: Announcement Nov 9, 2012 — Results release Mar 14, 2013
- Event-study approach:
  - First stage: CAPM regression of each bank’s excess returns on country index and constant; risk-free proxies: EONIA for EU, U.S. Treasury bill rate for U.S.
  - Sample: daily stock prices for 66 U.S. and 159 European listed banks and institutions; estimation window Apr 1, 2008 to Jan 5, 2009 (200 observations).
  - Second stage: compute abnormal returns (AR_it), cumulative abnormal returns (CAR_it) over a five-day window (t-2, t-1, t, t+1, t+2), standardized CAR (SCAR_it), and CAAR (average CAR across N banks).
  - Significance testing: simple t-stat and Boehmer-Masumeci-Poulsen (1991) test; reported t-stats.

### Results — overall patterns and selected statistics
- High-level summary:
  - In four out of six exercises since 2009, publication of stress test results had a significant positive impact on stressed banks’ stock returns.
  - Little impact on nonstressed banks in most cases.
  - Two outlier exercises:
    - U.S. 2009 SCAP: large positive market impact.
    - EU 2011 EBA: large negative market impact.
- Selected reported CAAR and t-stat highlights (as reported in Table 2):
  - EU stress tests (announcement vs. results release) — Full sample CAAR and t:
    - 2009 EU: Announcement CAAR -0.019, t -3.260; Results CAAR 0.005, t 1.477
    - 2010 EU: Announcement CAAR 0.001, t 0.288; Results CAAR 0.020, t 4.888
    - 2011 EU: Announcement CAAR 0.019, t 5.014; Results CAAR -0.012, t -3.502
    - 2012 EU: Announcement CAAR -0.012, t -3.152; Results CAAR 0.009, t 1.900
  - U.S. stress tests (announcement vs. results release) — Full sample CAAR and t:
    - SCAP US 2009: Announcement CAAR 0.033, t 2.544; Results CAAR 0.058, t 2.833
    - CCAR US 2012: Announcement CAAR -0.004, t -1.244; Results CAAR 0.029, t 5.505
    - CCAR US 2013: Announcement CAAR -0.007, t -1.911; Results CAAR -0.003, t -0.920
- Impact of announcements:
  - EU: announcements affected market valuation in some exercises (2011 announcement positive; 2012 announcement negative). Follow-up announcements often mirrored prior results’ impact.
  - U.S.: announcements generally had no statistically significant impact.
- Impact of publication of results:
  - Typically significant for stressed banks; little impact on nonstressed banks in most exercises.
  - EU 2011: publication had a statistically significant negative impact on both stressed and nonstressed banks (full sample results CAAR -0.012).
- Notable magnitudes and trends:
  - 2009 U.S. SCAP: CAAR for stressed banks following results was +10.7 percent.
  - U.S. stress-test impact declined over time: 2009 and 2012 positive and significant for stressed banks; 2013 results not significant.
  - EU 2010: publication had a significant positive effect on stressed banks (+5.0 percent).
  - EU 2011: publication resulted in full-sample CAAR -1.2 percent and stressed-banks CAR -1.9 percent; announcement prior had full-sample CAAR +1.9 percent and stressed-banks CAAR +3.6 percent.
  - EU 2012 recapitalization exercise: found recapitalization needs of about EUR 116 billion.

### Interpretation of results and market context
- Heterogeneous market reactions reflect differences in governance, timing, and market environment.
- U.S. 2009 SCAP:
  - Acted as a “circuit breaker” amid crisis; provided credible information and a credible financial backstop.
- EU 2011:
  - Publication coincided with deteriorating sovereign risk (notably Greece) and produced a negative market reaction despite increased disclosure and stricter benchmarks.
- Greece sovereign yield context (Figure 3 in source):
  - Ten-year Greek bond yield (rolling 12-month averages) rose markedly around the period of EU tests:
    - Greek 10-year bond yield: 4.57 percent in October 2009; 10.34 percent in July 2010; 16.15 percent in July 2011.
- Market dynamics and disclosure:
  - EU 2011 disclosed granular bank-by-bank data (about 3,400 data points per bank vs. 149 in 2010), enabling market participants to generate much larger recapitalization estimates (market estimates as large as EUR 100 billion vs. EBA-reported shortfall EUR 2.5 billion).
  - The divergence between regulatory and market estimates, combined with rising sovereign risk and governance fragmentation, amplified negative market responses in 2011.

### Differences in the governance of stress tests — elements and implications
- Governance definition used: institutional framework; scope of entities; methodology and calculations; granularity and dissemination of published results; planned follow-up actions (including financial backstops); communication; and ex-ante measures giving banks incentives to strengthen capital (deadlines for capital actions; dynamic vs. static balance-sheet assumptions).
- Key governance elements and market implications:
  - Coordination: high coordination (single national framework and supervisory decision-making) enhances credibility; low coordination (multiple national supervisors without common backstop) reduces credibility.
  - Disclosure: more granular disclosure can increase market impact but effect can be positive or negative depending on broader context.
  - Follow-up actions and backstops: explicit requirements to remedy shortfalls and credible public backstops increase positive market impact; absence of common backstop can lead to negative impact.
  - Ex-ante incentives: deadlines for considering capital actions and dynamic balance-sheet assumptions can prompt banks to raise capital or restructure pre-publication, contributing to more positive outcomes.
- Comparison of EU exercises (selected contrasts):
  - 2010 vs. 2011 EU:
    - Coverage: both covered similar number of banks (about 65 percent of EU banking assets and at least 50 percent per country).
    - 2011 stricter and more disclosed (5 percent CT1 benchmark vs. 6 percent Tier 1 in 2010; 3,400 vs. 149 data points per bank).
    - Despite stricter tests and greater disclosure, 2011 publication had negative market impact due to governance problems and rising sovereign concerns.
  - Causes of EU 2011 negative impact:
    - Rising sovereign-risk environment (Greece yield escalation; Ireland’s banking problems).
    - Governance complexity: EBA coordinating with 27 national supervisors plus ECB; no single EU backstop or unified decision-making body.
    - Partial accommodation of sovereign haircuts (trading book considered but banking book generally not), creating a mismatch with market concerns.
    - Late clarity on back-up plans: only by October 2011 did EU heads of state agree measures including stronger capitalization (9 percent of highest quality capital after accounting for market valuation of sovereign exposures) and coordinated funding measures.
  - The 2012 EU capital exercise:
    - One-off asset quality review focused on sovereign exposures (not a macroeconomic stress test).
    - Higher capital threshold of 9 percent Core Tier 1 ratio; found recapitalization needs of about EUR 116 billion.
    - By October 2012, more than EUR 200 billion had been injected into the European banking system via retained earnings, new equity, liability management, and public backstops in some cases.
- U.S. 2009 vs. EU 2011 governance contrast:
  - U.S. 2009 governance characteristics that supported success:
    - High coordination among Fed, OCC, FDIC, and Treasury.
    - Credible financing backstop via U.S. Treasury Capital Assistance Program (CAP) and Federal Reserve assurances.
    - Clear communication (single authoritative channels; Chairman Bernanke’s statements guaranteed quality of results and Treasury readiness to support banks).
  - EU 2011 governance limitations:
    - Fragmented decision-making across 27 national supervisors and EBA/ECB coordination role.
    - Recommendations without explicit public financing commitments.
    - Implicit allowance for markets to form their own recapitalization estimates.

### Concluding remarks and policy implications
- Main conclusions:
  - Qualitative aspects of governance (coordination, credible backstops, clear communication, and ex-ante incentives for capital action) are critical determinants of stress-test success in restoring market confidence; these can matter more than certain technical specifications (e.g., numerical capital thresholds or raw disclosure volumes).
  - Event-study evidence: U.S. 2009 SCAP had a large positive effect on stressed U.S. banks (CAAR +10.7 percent for stressed banks); EU 2011 had a statistically significant negative effect on EU banks; other EU exercises (e.g., 2010) had positive effects on stressed banks.
  - Over time, the market impact of stress tests in the U.S. diminished (2009 and 2012 positive; 2013 not significant).
  - The EU 2011 exercise, while producing granular information that enabled market re-estimation of recapitalization needs, revealed governance shortcomings (lack of coordination and common backstop) that undermined confidence; these dynamics contributed to the subsequent 2012 recapitalization exercise and larger-scale capital injections (over EUR 200 billion by October 2012).
- Policy implication:
  - Design of stress tests should prioritize strong governance features: single coordinated decision-making framework, credible and communicated financing backstops, clear remediation rules, effective communication channels, and ex-ante incentives for banks to address capital shortfalls prior to publication.

*Source: _wp1575 - 1. U.S. and EU-wide Stress Tests (2009–2013) — PDF chapter/section*

### 1. U.S. and EU-wide Stress Tests (2009–2013)

### 1. U.S. and EU-wide Stress Tests (2009–2013)

### Major themes in this content unit
- Comparative overview of U.S. and EU-wide stress tests covering the period 2009–2013.
- Placement in the document: section begins on page 6.

### Structure and topics addressed
- Section 1 title: "U.S. and EU-wide Stress Tests (2009–2013)".

### What this unit contains (as listed)
- The section is part of a broader chapter/collection that includes:
  - 2. Average Cumulative Abnormal Returns and their Significance at the Announcement and the Results Release of the Stress Tests (page 8)
  - 3. Market Reaction to U.S. and EU Stress Tests (page 9)
  - 4. The Governance of Crisis Management Stress Tests (page 17)
  - Figures:
    - Figure 1. Average CARs for Stressed Banks following the Publication of Stress Test Results (page 10)
    - Figure 2. Bank of Ireland Share Price (page 13)

*Source: _wp1575 - 1. U.S. and EU-wide Stress Tests (2009–2013) — PDF chapter/section*

### 3. Greece: Sovereign Yield .............................................................................................

### 3. Greece: Sovereign Yield

### I. Introduction
- Context: Macroprudential bank-wide stress tests since 2009 (U.S. SCAP and subsequent EU exercises) aimed at restoring financial stability by providing credible information on banks’ recapitalization needs.
- Literature synthesis:
  - Event-study evidence indicates stress tests can reduce bank opaqueness and provide market-relevant information (Morgan, Peristiani, and Savino (2014); Petrella and Resti (2013)).
  - Governance-focused case studies highlight the U.S. 2009 stress test as a benchmark of success due to coordination, backstop, and communication (Ong and Pazarbasioglu (2013); Haben, Liesegang, and Quagliariello (2013); Schuermann (2012)).
- Paper objective: Combine event-study analysis of all macroprudential U.S. and EU-wide stress tests from 2009–2013 with a governance comparison to identify which aspects of stress-test design and governance matter most to market reactions.

### II. Methodology
- Events considered: announcements and publications of stress tests by the U.S. Federal Reserve and the EBA/CEBS for all U.S. and EU-wide stress tests during 2009–2013.
- Exercises included:
  - U.S.: 2009 SCAP, 2012 CCAR, 2013 CCAR.
  - EU: 2009 CEBS, 2010 CEBS, 2011 EBA, 2012 EU capital exercise.
- Table of announcement and results-release dates (as reported):
  - 2009 SCAP U.S.: Announcement Feb 10, 2009 — Results release May 7, 2009
  - 2009 CEBS EU: Announcement May 12, 2009 — Results release Oct 1, 2009
  - 2010 CEBS EU: Announcement Dec 2, 2009 — Results release Jul 23, 2010
  - 2011 EBA EU: Announcement Jan 13, 2011 — Results release Jul 15, 2011
  - 2012 CCAR U.S.: Announcement Nov 22, 2011 — Results release Mar 13, 2012
  - 2012 EU capital exercise: Announcement Dec 8, 2011 — Results release Oct 3, 2012
  - 2013 CCAR U.S.: Announcement Nov 9, 2012 — Results release Mar 14, 2013
- Event-study approach:
  - First stage: CAPM regression of each bank’s excess returns on country index and constant; risk-free proxies: EONIA for EU, U.S. Treasury bill rate for U.S.
  - Sample: daily stock prices for 66 U.S. and 159 European listed banks and institutions; estimation window Apr 1, 2008 to Jan 5, 2009 (200 observations).
  - Second stage: compute abnormal returns (AR_it), cumulative abnormal returns (CAR_it) over a five-day window (t-2, t-1, t, t+1, t+2), standardized CAR (SCAR_it), and CAAR (average CAR across N banks).
  - Significance testing: simple t-stat and Boehmer-Masumeci-Poulsen (1991) test; reported t-stats.

### III. Results
- High-level summary:
  - In four out of six exercises since 2009, publication of stress test results had a significant positive impact on stressed banks’ stock returns; little impact on nonstressed banks in most cases.
  - Two outlier exercises:
    - U.S. 2009 SCAP: large positive market impact.
    - EU 2011 EBA: large negative market impact.
- Selected reported CAAR and t-stat highlights (as reported in Table 2):
  - EU stress tests (announcement vs. results release) — Full sample CAAR and t:
    - 2009 EU: Announcement CAAR -0.019, t -3.260; Results CAAR 0.005, t 1.477
    - 2010 EU: Announcement CAAR 0.001, t 0.288; Results CAAR 0.020, t 4.888
    - 2011 EU: Announcement CAAR 0.019, t 5.014; Results CAAR -0.012, t -3.502
    - 2012 EU: Announcement CAAR -0.012, t -3.152; Results CAAR 0.009, t 1.900
  - U.S. stress tests (announcement vs. results release) — Full sample CAAR and t:
    - SCAP US 2009: Announcement CAAR 0.033, t 2.544; Results CAAR 0.058, t 2.833
    - CCAR US 2012: Announcement CAAR -0.004, t -1.244; Results CAAR 0.029, t 5.505
    - CCAR US 2013: Announcement CAAR -0.007, t -1.911; Results CAAR -0.003, t -0.920
- Impact of announcements:
  - EU: announcements affected market valuation in some exercises (2011 announcement positive; 2012 announcement negative). Follow-up announcements often mirrored prior results’ impact.
  - U.S.: announcements generally had no statistically significant impact.
- Impact of publication of results:
  - Typically significant for stressed banks; little impact on nonstressed banks in most exercises.
  - EU 2011: publication had a statistically significant negative impact on both stressed and nonstressed banks (full sample results CAAR -0.012).
- Notable magnitudes and trends:
  - 2009 U.S. SCAP: CAAR for stressed banks following results was +10.7 percent (described as large and significant).
  - U.S. stress-test impact declined over time: 2009 and 2012 positive and significant for stressed banks; 2013 results not significant.
  - EU 2010: publication had a significant positive effect on stressed banks (+5.0 percent).
  - EU 2011: publication resulted in full-sample CAAR -1.2 percent and stressed-banks CAR -1.9 percent; announcement prior had full-sample CAAR +1.9 percent and stressed-banks CAAR +3.6 percent.
  - EU 2012 recapitalization exercise: found recapitalization needs of about EUR 116 billion.

### IV. Interpretation of Results
- Heterogeneous market reactions reflect differences in governance, timing, and market environment:
  - U.S. 2009 SCAP acted as a “circuit breaker” amid crisis; provided credible information and a credible financial backstop.
  - EU 2011 publication coincided with deteriorating sovereign risk (notably Greece) and produced a negative market reaction despite increased disclosure and stricter benchmarks.
- Greece sovereign yield context (Figure 3 in source):
  - Ten-year Greek bond yield (rolling 12-month averages) rose markedly around the period of EU tests and sovereign tensions; specific values quoted in narrative:
    - Greek 10-year bond yield: 4.57 percent in October 2009; 10.34 percent in July 2010; 16.15 percent in July 2011.
- Market dynamics:
  - EU 2011 disclosed granular bank-by-bank data (about 3,400 data points per bank vs. 149 in 2010), enabling market participants to generate much larger recapitalization estimates (market estimates as large as EUR 100 billion vs. EBA-reported shortfall EUR 2.5 billion).
  - The divergence between regulatory and market estimates, combined with rising sovereign risk and governance fragmentation, amplified negative market responses in 2011.

### V. Differences in the Governance of Stress Tests
- Governance definition used: institutional framework; scope of entities; methodology and calculations; granularity and dissemination of published results; planned follow-up actions (including financial backstops); communication; and ex-ante measures giving banks incentives to strengthen capital (deadlines for capital actions; dynamic vs. static balance-sheet assumptions).
- Key governance elements and their market implications:
  - Coordination: high coordination (single national framework and supervisory decision-making) enhances credibility; low coordination (multiple national supervisors without common backstop) reduces credibility.
  - Disclosure: more granular disclosure can increase market impact but effect can be positive or negative depending on broader context.
  - Follow-up actions and backstops: explicit requirements to remedy shortfalls and credible public backstops increase positive market impact; absence of common backstop can lead to negative impact.
  - Ex-ante incentives: deadlines for considering capital actions and dynamic balance-sheet assumptions can prompt banks to raise capital or restructure pre-publication, contributing to more positive outcomes.
- Comparison of EU exercises (selected contrasts):
  - 2010 vs. 2011 EU:
    - Coverage: both covered similar number of banks (about 65 percent of EU banking assets and at least 50 percent per country).
    - 2011 stricter and more disclosed (5 percent CT1 benchmark vs. 6 percent Tier 1 in 2010; 3,400 vs. 149 data points per bank).
    - Despite stricter tests and greater disclosure, 2011 publication had negative market impact due to governance problems and rising sovereign concerns.
  - Causes of EU 2011 negative impact:
    - Rising sovereign-risk environment (Greece yield escalation; Ireland’s banking problems).
    - Governance complexity: EBA coordinating with 27 national supervisors plus ECB; no single EU backstop or unified decision-making body.
    - Partial accommodation of sovereign haircuts (trading book considered but banking book generally not), creating a mismatch with market concerns.
    - Late clarity on back-up plans: only by October 2011 did EU heads of state agree measures including stronger capitalization (9 percent of highest quality capital after accounting for market valuation of sovereign exposures) and coordinated funding measures.
  - The 2012 EU capital exercise:
    - One-off asset quality review focused on sovereign exposures (not a macroeconomic stress test).
    - Higher capital threshold of 9 percent Core Tier 1 ratio; found recapitalization needs of about EUR 116 billion.
    - By October 2012, more than EUR 200 billion had been injected into the European banking system via retained earnings, new equity, liability management, and public backstops in some cases.
- U.S. 2009 vs. EU 2011 governance contrast:
  - U.S. 2009 governance characteristics that supported success:
    - High coordination among Fed, OCC, FDIC, and Treasury.
    - Credible financing backstop via U.S. Treasury Capital Assistance Program (CAP) and Federal Reserve assurances.
    - Clear communication (single authoritative channels; Chairman Bernanke’s statements guaranteed quality of results and Treasury readiness to support banks).
  - EU 2011 governance limitations:
    - Fragmented decision-making across 27 national supervisors and EBA/ECB coordination role.
    - Recommendations without explicit public financing commitments.
    - Implicit allowance for markets to form their own recapitalization estimates.

### VI. Concluding Remarks
- Main conclusions:
  - Qualitative aspects of governance (coordination, credible backstops, clear communication, and ex-ante incentives for capital action) are critical determinants of stress-test success in restoring market confidence; these can matter more than certain technical specifications (e.g., numerical capital thresholds or raw disclosure volumes).
  - Event-study evidence: U.S. 2009 SCAP had a large positive effect on stressed U.S. banks (CAAR +10.7 percent for stressed banks); EU 2011 had a statistically significant negative effect on EU banks; other EU exercises (e.g., 2010) had positive effects on stressed banks.
  - Over time, the market impact of stress tests in the U.S. diminished (2009 and 2012 positive; 2013 not significant).
  - The EU 2011 exercise, while producing granular information that enabled market re-estimation of recapitalization needs, revealed governance shortcomings (lack of coordination and common backstop) that undermined confidence; these dynamics contributed to the subsequent 2012 recapitalization exercise and larger-scale capital injections (over EUR 200 billion by October 2012).
- Policy implication:
  - Design of stress tests should prioritize strong governance features: single coordinated decision-making framework, credible and communicated financing backstops, clear remediation rules, effective communication channels, and ex-ante incentives for banks to address capital shortfalls prior to publication.

*Source: _wp1575 - 3. Greece: Sovereign Yield (extracted content from the chapter titled “3. Greece: Sovereign Yield” in the provided PDF).*

### References

### _wp1575 - References

### References cited
- Ahmed, Enam, and Andrea Appeddu, Melanie Bowler, Thomas Holinka, Juan Manuel Licari, Olga Loiseau-Aslanidi, and Zach Witton, 2011, “Europe Misses Again on Bank Stress Tests,” Regional Financial Review, Moody’s Analytics, July.
- Bernanke, Ben, 2013, “Stress Testing Banks: What Have We Learned?” Speech at the "Maintaining Financial Stability: Holding a Tiger by the Tail" financial markets conference sponsored by the Federal Reserve Bank of Atlanta, Stone Mountain, Georgia, April 8, 2013.
- Boehmer Ekkehart, Jim Masumeci, and Annette B. Poulsen, 1991, “Event-Study Methodology Under Conditions of Event-Induced Variance,” Journal of Financial Economics, 30:2, pp.253–272, December 1991.
- Campbell, John, Andrew Lo, and Craig MacKinlay, 1997, “The Econometrics of Financial Markets,” Princeton University Press, New Jersey.
- Chan-Lau Jorge, Estelle X. Liu, and Jochen M. Schmittmann, 2012, “Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis,” IMF Working Paper, WP/12/174, Washington D.C.
- Greenlaw David, Anil K. Kashyap, Kermit Schoenholtz, Hyun. S. Shin, 2012 “Stressed Out: Macroprudential Principles for Stress Testing,” Working Paper Bo. 71, Chicago Booth Paper No. 12–08.
- Goldstein Itay and Haresh Sapra, 2012, “Should Banks’ Stress Test Results Be Disclosed? An Analysis of the Costs and Benefits,” Mimeo, April, Wharton School, University of Pennsylvania and University of Chicago Booth School of Business.
- Haben Piers, Caroline Liesegang, and Mario Quagliariello, 2013 “EU-wide Stress Test Versus SCAP   and CCAR: Region-wide and Global Perspectives” in Comprehensive Capital Analysis Review (CCAR) and Beyond - Capital Assessment, Stress Testing and Applications, Chapter 15, Jing Zhang, Editor, Risk Books, December.
- Kashyap Anil, Kermit Schoenholtz, and Hyun S. Shin, 2011, “Why European Banks Are Stressed Out?” Wall Street Journal, 23 March, http://on.wsj.com/TwlSDZ.
- Ong Li Lian and Ceyla Pazarbasioglu, 2013, “Credibility and Crisis Stress Testing,” IMF  WP/13/178, Washington D.C.
- Morgan Donald, Stavros Peristiani, and Vanessa Savino, 2014, “The Information Value of the Stress Test” Journal of Money Credit and Banking, 46:7, pp. 1479–1500.
- Petrella, Giovanni and Andrea Resti, 2013, “Supervisors as Information Producers: Do Stress Tests Reduce Bank Opaqueness?” Journal of Banking & Finance, 37:12, pp.5406–5420.
- Wall, Larry, 2013, “The Adoption of Stress Testing: Why the Basel Capital Measures Were Not Enough,” Federal Reserve Bank of Atlanta, Working Paper 2013–14, December.

*Source: _wp1575 - References*

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