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Why Did Bank Stocks Crash during COVID-19?

Acharya, Viral V.; Engle, Robert F.; Steffen, Sascha - 2021

We provide evidence consistent with a “credit-line drawdown channel” to explain the large and persistent crash of bank stock prices during the COVID-19 pandemic. Stock prices of banks with large ex-ante exposures to undrawn credit lines and large ex-post gross drawdowns declined more,...

Persistent link: https://www.econbiz.de/10013233941

Measuring systemic risk

Acharya, Viral V.; Brownlees, Christian; Engle, Robert F.; … - In: Managing and measuring risk : emerging global standards …, (pp. 65-98). 2012

Persistent link: https://www.econbiz.de/10009742628

Capital shortfall : a new approach to ranking and regulating systemic risks

Acharya, Viral V.; Engle, Robert F.; Richardson, Matthew - In: The American economic review 102 (2012) 3, pp. 59-64

Persistent link: https://www.econbiz.de/10009705301

Centralized clearing for credit derivatives : executive summary

Acharya, Viral V.; Engle, Robert F.; Figlewski, Stephen; … - In: Financial markets, institutions & instruments 18 (2009) 2, pp. 168-170

Persistent link: https://www.econbiz.de/10009519957

Derivatives : the ultimate financial innovation : executive summary

Acharya, Viral V.; Brenner, Menachem; Engle, Robert F.; … - In: Financial markets, institutions & instruments 18 (2009) 2, pp. 166-167

Persistent link: https://www.econbiz.de/10009519958

Derivatives : the ultimate financial innovation

Acharya, Viral V.; Brenner, Menachem; Engle, Robert F.; … - In: Restoring financial stability : how to repair a failed …, (pp. 233-249). 2009

Persistent link: https://www.econbiz.de/10003827516

Centralized clearing for credit derivatives

Acharya, Viral V.; Engle, Robert F.; Figlewski, Stephen; … - In: Restoring financial stability : how to repair a failed …, (pp. 251-268). 2009

Persistent link: https://www.econbiz.de/10003827517

Why did bank stocks crash during COVID-19?

Acharya, Viral V.; Engle, Robert F.; Steffen, Sascha - 2021

Persistent link: https://www.econbiz.de/10012490620

Why did bank stocks crash during COVID-19?

Acharya, Viral V.; Engle, Robert F.; Steffen, Sascha - In: Covid economics : vetted and real-time papers (2021) 76, pp. 1-57

Persistent link: https://www.econbiz.de/10012601641

Why Did Bank Stocks Crash During COVID-19?

Acharya, Viral V.; Engle, Robert F.; Steffen, Sascha - National Bureau of Economic Research - 2021

We study the crash of bank stock prices during the COVID-19 pandemic. We find evidence consistent with a "credit line drawdown channel". Stock prices of banks with large ex-ante exposures to undrawn credit lines as well as large ex-post gross drawdowns decline more. The effect is attenuated for...

Persistent link: https://www.econbiz.de/10012496112