scholarly journals A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Mikhail I. Stolbov ◽  
Maria A. Shchepeleva ◽  
Alexander M. Karminsky
Keyword(s):  
Systemic Risk ◽  
Industrial Production ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
Convincing Evidence ◽  
Global Perspective ◽  
Growth Effect ◽  
Macroprudential Policy ◽  
Study Results ◽  
Systemic Stress

AbstractThe study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and monetary intervention on a global level from January 2006 to December 2018. We adopt the aggregate proxies of these variables, capturing their global effects, and use a novel econometric technique, namely, smooth local projections. The study finds that global macroprudential policy leads the monetary policy, exhibiting a countercyclical pattern concerning industrial production. The latter has an inverse bidirectional linkage with systemic risk. Thus, an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production, although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk. The study results endure several extensions and a robustness check, which builds on alternative measures of global systemic stress and real economic activity, thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.

Systemic risk in ASEAN-6: a new empirical investigation

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Trung Hai Le
Keyword(s):  
Empirical Evidence ◽  
Systemic Risk ◽  
Business Models ◽  
Financial Integration ◽  
Global Financial Crisis ◽  
Macroprudential Policy ◽  
Content Type ◽  
Risk Dynamics ◽  
Asean Countries ◽  
Book Values

PurposeThe authors provide a comprehensive study on systemic risk of the banking sectors in the ASEAN-6 countries. In particular, they investigate the systemic risk dynamics and determinants of 49 listed banks in the region over the 2000–2018 period.Design/methodology/approachThe authors employ the market-based SRISK measure of Brownlees and Engle (2017) to investigate the systemic risk of the ASEAN-6's banking sectors.FindingsThe authors find that the regional systemic risk fluctuates significantly and currently at par or higher level than that of the recent global financial crisis. Systemic risk is generally associated with banks that have bigger size, more traditional business models, lower quality in their loan portfolios, less profitable and with lower market-to-book values. However, these relationships vary significantly between ASEAN countries.Research limitations/implicationsThe research focuses on the systemic risk of ASEAN-6 countries. Therefore, the research results may lack generalizability to other countries.Practical implicationsThe authors’ empirical evidence advocates the use of capital surcharges on the systemically important financial institutions. Although the region has been pushing to higher financial integration in recent years, the authors encourage the regional regulators to account for the idiosyncratic characteristics of their banking sectors in designing effective macroprudential policy to contain systemic risk.Originality/valueThis paper provides the first study on the systemic risk of the ASEAN-6 region. The empirical evidence on the drivers of systemic risk would be of interest to the regional regulators.

scholarly journals Fiinancial Stability and Reform of the Financial System

2012 ◽  
Vol 2 (2) ◽  
pp. 58-69
Author(s):  
Juraj Sipko
Keyword(s):  
Financial Crisis ◽  
Systemic Risk ◽  
Financial Stability ◽  
Global Financial Crisis ◽  
Financial System ◽  
Financial Sector ◽  
Regulatory Reform ◽  
Economic Costs ◽  
Literature Study ◽  
Macroprudential Policy

Abstract The paper describes the main features of financial stability and the preparation of the reform of the global financial system. The mortgage crisis in the USA brought about the global financial crisis. This crisis was the result of the failure of financial regulation, including supervision, and the failure of the management of the banking industry. Therefore, the international community, including Group 20, urged the appropriate institutions to introduce a comprehensive reform of the financial sector. To avoid a potential financial crisis, the creation of the framework for financial stability would be needed. In line with this, the paper examines the interaction between both monetary and fiscal policies, including micro-and macroprudential policies and their instruments. Although still is going on discussion on definition of macroprudential policy, there is a generally accepted opinion that macroprudential policy should limit systemic risk. In addition, this policy should focus on interaction between the financial system and the real economy. Furthermore, micro- andmacroprudential policy should use appropriate instruments in dealing with the systemic risk. In this regard, the article undescores that put in a place the frameworkfor financial stability will create favorable conditions for decision-makers how they should to respond to financial imbalances. The paper also pointed out some potential economic costs related to the implementation of the overall international reform of the financial sector. Based on comprehensive literature study, the author came to the conclusion that despite the fact that there will be some economic costs related to implementing the overall regulatory reform of the financial sector, the main benefit from the long-term perspective will be avoiding the potential financial crisis in the future. To fulfill all the requirements for global financial reform, international cooperation will be needed.

Economic effects of monetary policy in Russia: What do large datasets tell us?

2020 ◽  
pp. 31-53 ◽  
Author(s):  
Anna A. Pestova ◽  
Natalia A. Rostova
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
Exchange Rate Regime ◽  
Aggregate Demand ◽  
Economic Effects ◽  
Theoretical Concepts ◽  
Empirical Estimates

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

Macroprudential Policy Instruments of Central Banks

2012 ◽  
pp. 32-47
Author(s):  
S. Andryushin ◽  
V. Kuznetsova
Keyword(s):  
Systemic Risk ◽  
Financial Stability ◽  
Financial System ◽  
Policy Instruments ◽  
Central Banks ◽  
Macroprudential Policy ◽  
Policy Studies ◽  
The Future ◽  
Financial Cycles

The paper analyzes central banks macroprudencial policy and its instruments. The issues of their classification, option, design and adjustment are connected with financial stability of overall financial system and its specific institutions. The macroprudencial instruments effectiveness is evaluated from the two points: how they mitigate temporal and intersectoral systemic risk development (market, credit, and operational). The future macroprudentional policy studies directions are noted to identify the instruments, which can be used to limit the financial systemdevelopment procyclicality, mitigate the credit and financial cycles volatility.

A Global Perspective on Securitized Debt

2018 ◽  
Author(s):  
Steven L Schwarcz
Keyword(s):  
United States ◽  
Financial Crisis ◽  
Capital Market ◽  
Global Financial Crisis ◽  
The United States ◽  
Global Perspective ◽  
Capital Markets Union ◽  
The Global Financial Crisis ◽  
Asset Backed Securities ◽  
The Eu

Securitisation represents a significant worldwide source of capital market financing. European investors commonly invest in asset-backed securities issued in U.S. securitisation transactions, and vice versa One of the key goals of the European Commission's proposed Capital Markets Union (CMU) is to further facilitate securitisation as a source of capital market financing as a viable alternative to bank-based finance for companies operating in the EU. To that end, this chapter explains securitisation and attempts to put its rise, its decline after the global financial crisis, and its recent CMU-inspired revival into a global perspective. It examines not only securitisation's relationship to the financial crisis but also post-crisis comparative regulatory approaches in the EU and the United States.

Macroprudential Policy - Taxonomy and Challenges

2011 ◽  
Vol 216 ◽  
pp. R1-R15 ◽  
Author(s):  
Erland W. Nier
Keyword(s):  
Financial Crisis ◽  
Financial Regulation ◽  
Global Financial Crisis ◽  
Policy Framework ◽  
Macroprudential Policy ◽  
Macroprudential Policies ◽  
The Global Financial Crisis ◽  
Governance Arrangements ◽  
Country Specific

There is increasing recognition that prior to the global financial crisis financial regulation had lacked a macroprudential perspective. There has since been a strong effort to make a new macroprudential orientation operational, including through the establishment of new macroprudential authorities or ‘committees’ in a number of jurisdictions. These developments raise — and this paper explores — the following three questions. First, what distinguishes macroprudential policy from microprudential policy and what are its key tasks? Second, what powers should be given to macroprudential authorities and what should be their mandate? Third, how can governance arrangements ensure that macroprudential policies are pursued effectively? While arrangements for macroprudential policy will to some extent be country-specific, we identify three basic challenges in setting up an effective macroprudential policy framework and discuss options to address them.

scholarly journals Regional Spillover Effect Terhadap Pertumbuhan Ekonomi Kota Pekanbaru

2021 ◽  
Vol 4 (2) ◽  
pp. 621-634
Author(s):  
M. Irfan Rosyadi ◽  
Sinta Yulyanti
Keyword(s):  
Economic Growth ◽  
Multiple Regression ◽  
Economic Activity ◽  
Quantitative Methods ◽  
Spillover Effect ◽  
Secondary Data ◽  
Regression Method ◽  
Study Results ◽  
Multiple Regression Method ◽  
Spatial Impacts

The spillover effect of economic activity from one area to another is due to the inter-sector linkages, which have implications for economic growth. This study examines and presents empirical evidence on the effects of economic growth in the districts of Siak, Pelalawan, Kampar, Kuantan singingi, and Bengkalis, which have spatial impacts on the economic growth of Pekanbaru City. Through quantitative methods with secondary data from the Regency / City Central Statistics Agency in Riau Province, the data used is the Gross Regional Domestic Product from 2010 to 2019, then analyzed using the Multiple regression method. The study results show that Kampar, Kuantan singingi, Pelalawan, and Siak districts have a significant effect on the economic growth of Pekanbaru City, while Bengkalis does not affect. Not all of the natural resources owned by each district can provide a spillover effect of growth. However, a dominant sector in absorbing labor will provide a spillover effect of economic growth from one region to another. Keyword: Regional Spillover Effect. Economic Growht, Multiple Regression. Pekanbaru

scholarly journals France

2019 ◽  
Vol 19 (327) ◽  
Author(s):  
Keyword(s):  
Systemic Risk ◽  
Capital Requirement ◽  
Macroprudential Policy ◽  
Coverage Ratio ◽  
European Institutions ◽  
The Eu

Macroprudential policy in France is the joint responsibility with several European institutions. With the operationalization of the EU Capital Requirement Directive and Capital Requirement Regulation (CRD/CRR), the French authorities have implemented, several capital buffers, as well as the liquidity coverage ratio (LCR), based on this framework. In France, Haut conseil de stabilité financière (HCSF) is the macroprudential authority established in accordance with recommendation European Systemic Risk Board (ESRB)/2011/13 and the designated authority established in accordance with Article 136 of CRD and is in charge of activating several measures in the CRD/CRR framework as well has direct responsibilities over several tools outside this framework, for example borrower-based tools.

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