Replication package for: Did the ECB's Publication of Pillar 2 Requirements Change Significant Institutions' Behaviour?

Data, code and documentation for a study of whether the European Central Bank’s publication of bank-specific Pillar 2 Requirements (P2R) on 28 January 2020 changed lending-growth volatility, the fully loaded CET1 ratio and credit growth of Significant Institutions whose P2R had not previously been public, compared with Significant Institutions that had disclosed it earlier. The package contains: the semi-annual estimation panel (June 2016–December 2024, 97 banks) and the bank-by-country exposure data; the classification of each bank’s P2R disclosure status, with the documents checked for each bank and SREP cycle and the quotations supporting the disclosures found; the values taken from banks’ own reports, each with its source document, page and quotation; all result files (main estimates, event studies, placebo-in-time tests, eight robustness variants, leave-one-out diagnostic, minimum detectable effects); the Python scripts that reproduce the estimates, tables and figures without network access (fixed random seeds); and the results report, methodology, data dictionary, replication guide and online appendix (PDF and DOCX), with all 17 figures and the CSV each figure is drawn from. The raw EBA EU-wide Transparency Exercise files are not redistributed and are publicly available from the EBA website. SHA256SUMS.txt lists a checksum for every file.