Bank opacity patterns and implications

This paper investigates the patterns and implications of bank opacity in Europe using a rich bank-level data set. Employing a novel event study methodology, it documents that public data releases by the European Banking Authority (EBA) on banks' exposures to individual countries and sectors contained information that was not previously priced by equity and CDS markets. Moreover, it shows that the degree of bank opacity varied considerably across bank nationalities and counterparty sectors was highest for European periphery banks' sovereign exposures and European core banks' private sector exposures.