Applications for macro stress testing in times of crisis

This thesis discusses a number of potential applications for macro stress tests while focusing on the differences in the behaviours of banks between normal times and times of crisis. It comprises elements related to macro stress tests and profitability, the responses of banks to a monetary policy shock, the transmission channel of solvency risk on the funding of banks as well as the interaction between capital injections and liquidity measures that took place in the US in the aftermath of the subprime crisis. The work investigates these issues using innovative econometric techniques, in particular dynamic factor analysis, panel data econometric and quasi-natural experiments.