scholarly journals THE APPLICATION OF MACROPRUDENTIAL POLICY TOOLS TO AFFECT CONCENTRATION IN THE POLISH BANKING SECTOR

2017 ◽  
Author(s):  
Mateusz Mokrogulski
Keyword(s):  
Banking Sector ◽  
Policy Tools ◽  
Macroprudential Policy

Countercyclical Capital Buffer for Banks: is There a Premise for its Application in Russia?

2018 ◽  
pp. 97-116
Author(s):  
Svetlana Khasyanova
Keyword(s):  
Strategic Management ◽  
Banking Sector ◽  
Capital Requirements ◽  
Capital Adequacy ◽  
Gap Dynamics ◽  
Macroprudential Policy ◽  
Filtration Method ◽  
Minimum Capital ◽  
Macroprudential Policies ◽  
Russian Economy

Recently, the concept of countercyclical regulation in the financial sector has become key for the implementation of macroprudential policies in many countries, while a countercyclical buffer capital of banks is becoming a primary tool of regulation. The purpose of this research is to study the appropriateness and specifics of the countercyclical capital buffer application in Russia’s banking sector based on the analysis of credit aggregates’ dynamics for 2004-2016 and for the mid-term. Drawing on the filtration method, the study shows that the most effective indicator of excessive lending in the Russian economy is credit-to-GDP, the gap dynamics of which testifies a possible activation of capital buffer in 2007 and 2013. At the same time, the size of the buffer appeared to be insignificant, with a short activation period, which suggests the replacement of the buffer with alternative regulative tools. The minimum capital adequacy, taking into account the buffer, is not critical for the banking sector. However, some of the largest banks appeared to be vulnerable to increased capital requirements. The results of this study are of great value both for the implementation of macroprudential policy, and for strategic management of banks capital adequacy.

Key Aspects of Macroprudential Policy - Background Paper

Policy Papers ◽  
2013 ◽  
Vol 2013 (80) ◽  
Author(s):  
Keyword(s):  
Banking Sector ◽  
Time Varying ◽  
Real Economy ◽  
Macroprudential Policy ◽  
Medium Term ◽  
Minimum Capital ◽  
Minimum Capital Requirement ◽  
Systemic Risks ◽  
Key Aspects ◽  
Time Invariant

The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.

scholarly journals Risky Mortgages and Macroprudential Policy: A Calibrated DSGE Model for Lithuania

Ekonomika ◽  
2021 ◽  
Vol 100 (2) ◽  
pp. 6-39
Author(s):  
Jaunius Karmelavičius
Keyword(s):  
Credit Risk ◽  
Open Economy ◽  
Banking Sector ◽  
Capital Requirements ◽  
Mortgage Lending ◽  
Slight Reduction ◽  
Dsge Model ◽  
Macroprudential Policy ◽  
Credit Cycle ◽  
The Impact

Following the financial crisis of 2009 there was an emergence of macroprudential policy tools, as well as a need to model the macroeconomy and the financial sector in a coherent framework. This paper develops and calibrates a small open economy DSGE model for Lithuania to shed some light on the interactions between the macroeconomy and the banking sector, regulated by macroprudential policy. The model features housing market, and endogenous credit risk a la de Walque et al. (2010), whereby the household can default on mortgage repayments, what leads to housing collateral seizure. Foreign-owned banks, that are subject to risk-sensitive macroprudential capital requirements, take into account not only the mortgage default rate but also the cap on loan to value (LTV) ratio when making lending decisions. Using this mechanism, we show that while a more stringent LTV constraint reduced credit demand, it can also lead to an expansion in credit supply via lower credit risk. Therefore, a tightening of LTV requirement should result in only a slight reduction in mortgage lending, coupled with lower interest rate margins. The article compares the impact of the tightening of three macroprudential tools, namely, bank capital requirements, mortgage risk weights and LTV limit. We find that broad-based capital requirements, such as the counter-cyclical capital buffer, are less efficient in leaning against the housing credit cycle, because of a relatively large cost incurred on the firm sector.

Digital Transformation in Banks of Different Sizes

2021 ◽  
pp. 161-185
Author(s):  
Teresa Czerwińska ◽  
Adam Głogowski ◽  
Tomasz Gromek ◽  
Paweł Pisany
Keyword(s):  
Banking Sector ◽  
Returns To Scale ◽  
Banking System ◽  
Digital Technologies ◽  
Digital Transformation ◽  
Point Of View ◽  
Macroprudential Policy ◽  
Positive Feedback Loop ◽  
Technological Advances ◽  
The Cost

Technological advances in data transmission and processing are an important structural factor influencing the banking sector. As they have an important impact on the cost base of banks and are characterized by large one-off costs, it is argued that investments in digital technologies enhance the positive returns to scale in the banking system. This in turn further improves the competitive position of the largest market players, creating a positive feedback loop. In the longer run, this leads to a polarization of the banking sector, between large universal banks and small specialized banks. These processes are important from the point of view of macroprudential policy, notably in the dimension of reducing the risks connected with the emergence of “too big to fail” institutions. The chapter illustrates these issues using the results of a survey on the investments of banks in digital transformation in Poland, focusing on the relationships between market structure, financial position, and investments in digital technologies.

scholarly journals Stress-testing as a method of macroprudential policy and information security in banking sector

2019 ◽  
Vol 65 ◽  
pp. 06004
Author(s):  
Olena Berezina ◽  
Iryna Honcharenko ◽  
Lesya Berezhna ◽  
Valentina Kunchenko-Kharchenko
Keyword(s):  
Integrated Assessment ◽  
Financial Stability ◽  
Stress Testing ◽  
Banking Sector ◽  
Banking System ◽  
Capital Adequacy ◽  
Quantitative Risk Assessment ◽  
Macroprudential Policy ◽  
Prudential Policy ◽  
Integral Indicator

The article contains an overview of the essence, history, components, scenarios, methodology and results of stress testing of the Ukrainian banking system. The purpose of this paper is to explore and analyze existing approaches to stress testing as a method of macro-prudential policy of the Central Bank, to determine the results of quantitative risk assessment and financial stability of banks and their readiness to have sufficient capital to cover losses in various macroeconomic scenarios, as well as to develop a model of integrated assessment and rating of banks based on the results of stress testing. In order to summarize the results of the study, a model of integrated assessment was developed and a rating of banks was built based on the analysis of their financial stability, capital adequacy and readiness to withstand the crisis. To solve the problem of qualitative analysis of the stress-testing results in terms of a significant number of indicators and calculations a simulation of the integral indicator is proposed which helps information users group the data, obtain a generalized assessment and form a rating of banks according to the financial stability reserve.

scholarly journals INTERNALISASI SEKTOR PERBANKAN DALAM MODEL DSGE

2014 ◽  
Vol 17 (1) ◽  
pp. 23-60
Author(s):  
Harmanta Harmanta ◽  
Nur M. Adhi Purwanto ◽  
Fajar Oktiyanto Oktiyanto
Keyword(s):  
Monetary Policy ◽  
Open Economy ◽  
Banking Sector ◽  
Small Open Economy ◽  
Jel Classification ◽  
Capital Adequacy ◽  
Macroprudential Policy ◽  
Financial Friction ◽  
Policy Bank ◽  
The Impact

We build DSGE model for small open economy with financial friction in the form of collateral constrain on banking sector, designed for Indonesian economy. The constructed model is capable to simulate the monetary policy (Bank Indonesia rate) and macroprudential policy (reserve requirement, capital adequacy ratio – CAR, and loan to value – LTV). By internalizing banking sector into the model, this model also enable us to simulate the impact of any shock originated from banking sector.  Keywords: monetary policy, DSGE with banking sector, macroprudential policy JEL Classification: E32, E44, E52, E58 

scholarly journals Managing Macrofinancial Risk

2020 ◽  
Vol 20 (151) ◽  
Author(s):  
Tobias Adrian ◽  
Francis Vitek
Keyword(s):  
Goodness Of Fit ◽  
Banking Sector ◽  
Joint Analysis ◽  
Conditional Heteroskedasticity ◽  
Dsge Model ◽  
Macroprudential Policy ◽  
Structural Shocks ◽  
Financial Cycle ◽  
State Dependent ◽  
Dynamic Stochastic

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of structural shocks as functions of the business or financial cycle. The resultant heteroskedastic linearized DSGE model preserves the satisfactory simulation and forecasting performance of its nested homoskedastic counterpart for the conditional means of endogenous variables, while substantially improving its goodness of fit to their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for state dependent conditional heteroskedasticity makes it optimal for monetary policy to respond more aggressively to the business cycle, and for macroprudential policy to manage the resilience of the banking sector more actively over the financial cycle.

scholarly journals The effect of the efficiency of monetary policy educational tools on the financial soundness of banks A pilot study in the Iraq Stock Exchange (2007-2017)

2021 ◽  
Vol 10 (2) ◽  
pp. 54-75
Author(s):  
Nasreen Mohamed AL-hakim ◽  
Akram S. Yousif
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Commercial Banks ◽  
Banking Sector ◽  
Stock Exchange ◽  
Capital Adequacy ◽  
Policy Tools ◽  
Integration Test ◽  
Financial Soundness ◽  
The Impact

The aim of the research is to identify the impact of the quantitative tools of monetary policy on the financial soundness of banks, and the research was based on a set of hypotheses, to determine the nature of the effect between independent and dependent variables, and for the purpose of testing research hypotheses, a number of financial ratios according to CAMEL indicators were used to analyze the historical data of banks, the research sample and the component From (7) banks for the period (2007-2017), the quantitative tools of monetary policy were used from the impact published in the Central Bank of Iraq, and a number of statistical methods were used, including time series testing, joint integration test and multiple regression test according to programs.EVIES10 has been reached through the research to a number of conclusions, the most important of which is that the CAMEL classification system is one of the effective supervisory methods for assessing the financial soundness of banks and determining the duration of the strength and durability of their financial positions and the extent of their ability to adapt to any variables related to their activities, as it ensures that the banks are moving in the direction. Correct or reverse, and the weakness of the monetary policy tools applied by the Central Bank of Iraq due to the limited Iraqi market for securities as it is still incomplete conditions as a secondary market that contributes to expanding the circulation of securities, which constitutes a burden on the use of quantitative tools of the Central Bank of Iraq, especially open market operations,As well as the weakness of the legal reserve ratio in the impact on the ability of commercial banks to grant credit, because commercial banks in Iraq enjoy high liquidity due to the high rate of inflation significantly. The research also presented a set of proposals, the most important of which is the activation of the monetary policy tools of the Central Bank of Iraq, which is currently being used to modernize, develop and increase the efficiency of the stock market in Iraq to keep pace with developments in global markets,nd developing the supervisory and supervisory role of the Central Bank of Iraq over Iraqi banks in terms of the extent of their commitment to regulations and laws and activating and activating the banking sector in a way that serves to build a banking infrastructure that keeps pace with the development of international banks. Delinquency and low capital adequacy ratio, thus hedging and beware of any problems that arise in the banking sector. Key words: monetary policy, quantitative tools of monetary policy, financial soundness, the CAMEL model, Iraq Stock Exchange Market.

scholarly journals Macroprudential Policy and Financial Stability: The Turkish Case

2018 ◽  
Vol 10 (2) ◽  
pp. 34
Author(s):  
Ilyas Siklar ◽  
Aysegül Akça
Keyword(s):  
Financial Stability ◽  
Banking Sector ◽  
Foreign Currency ◽  
Banking System ◽  
Policy Instrument ◽  
Money Market ◽  
Estimation Model ◽  
Macroprudential Policy ◽  
Leverage Ratio ◽  
Macroprudential Policies

This study aims to analyse the relationship between financial stability and macroprudential policies in Turkey and investigate the effectiveness of macroprudential policies on the financial stability by using the vector error correction model (VECM). Estimates are realized for the 2010-2017 period by using the monthly data. For this purpose, a composite financial stability indicator (FSI) is formed and an estimation model is developed. Banking sector credit concentration, net position of interbank money market, leverage ratio, capital buffers, reserve requirements and foreign currency loan limits are used as macroprudential policy indicators. According the results obtained from VECM model, the ratios which represent concentration of credit and capital buffer provide a favourable contribution to financial stability while the variables representing the leverage ratio and the net position of banking system in interbank money market negatively affect the financial stability. The study concludes that monetary policy should be supported by macroprudential policy instrument to achieve financial stability.

Sign in / Sign up

Export Citation Format

Share Document