Last April, the Bank of Italy activated the systemic risk buffer (SyRB) for the first time, to strengthen the resilience of the banking system. The decision was taken in a context of favourable economic conditions for the banking sector, reducing the risk of pro-cyclical effects and maximising the expected net benefits associated with the decision. Nevertheless, in the short term, the increase in capital requirements may be a cost for banks, especially those with less capital in excess of regulatory requirements. This note provides evidence on the possible impact of the SyRB activation announcements on the share prices of Italian banks. To this end, it assesses: (i) whether there was a significant deterioration in the performance of Italian banks' shares in the days immediately following the announcements of the measure and (ii) whether or not this deterioration is related to the level of their excess capital. The results of the analysis suggest that the introduction of the SyRB did not have a negative impact on the share prices of banks, including those with less excess capital available.
