scholarly journals Macroprudential Policy and Bank Systemic Risk

2019 ◽  
Author(s):  
Elien Meuleman ◽  
Rudi Vander Vennet
Keyword(s):  
Systemic Risk ◽  
Macroprudential Policy

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.

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.

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.

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 Financial Stability Indicators – The Case of Croatia

2016 ◽  
Vol 5 (1) ◽  
pp. 113-140 ◽  
Author(s):  
Mirna Dumičić
Keyword(s):  
Principal Component Analysis ◽  
Systemic Risk ◽  
Financial Stability ◽  
Principal Component ◽  
Small Open Economies ◽  
Macroprudential Policy ◽  
Policy Makers ◽  
The Public ◽  
Systemic Risks ◽  
Accumulation Index

Abstract This paper considers financial stability through the processes of accumulation and materialisation of systemic risks. To this end, the method of principal component analysis on the example of Croatia has been used to construct two composite indicators – a systemic risk accumulation index and an index reflecting the consequences of systemic risk materialisation. In the construction of the indices, the features and risks specific to small open economies were considered. Such an approach to systemic risk analysis facilitates the monitoring and understanding of the degree of financial stability and communication of macroprudential policy makers with the public.

scholarly journals Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling

Entropy ◽  
2020 ◽  
Vol 22 (2) ◽  
pp. 129
Author(s):  
Jagoda Kaszowska-Mojsa ◽  
Mateusz Pipień
Keyword(s):  
Systemic Risk ◽  
Financial Distress ◽  
Dynamic Stochastic General Equilibrium ◽  
Macroprudential Policy ◽  
Risk Modelling ◽  
Agent Based ◽  
Macroprudential Policies ◽  
Dynamic Stochastic ◽  
Rbc Models ◽  
The Impact

Assessment of welfare effects of macroprudential policy seems the most important application of the Dynamic Stochastic General Equilibrium (DSGE) framework of macro-modelling. In particular, the DSGE-3D model, with three layers of default (3D), was developed and used by the European Systemic Risk Board and European Central Bank as a reference tool to formally model the financial cycle as well as to analyze effects of macroprudential policies. Despite the extreme importance of incorporating financial constraints in Real Business Cycle (RBC) models, the resulting DSGE-3D construct still embraces the representative agent idea, making serious analyses of diversity of economic entities impossible. In this paper, we present an alternative to DSGE modelling that seriously departs from the assumption of the representativeness of agents. Within an Agent Based Modelling (ABM) framework, we build an environment suitable for performing counterfactual simulations of the impact of macroprudential policy on the economy, financial system and society. We contribute to the existing literature by presenting an ABM model with broad insight into heterogeneity of agents. We show the stabilizing effects of macroprudential policies in the case of economic or financial distress.

Macroprudential Policy, Capital Controls and Bank Systemic Risk

2014 ◽  
Author(s):  
Adrian Blundell-Wignall ◽  
Caroline Roulet
Keyword(s):  
Systemic Risk ◽  
Capital Controls ◽  
Macroprudential Policy

Balancing Financial Stability and Housing Affordability

2018 ◽  
Vol 2018 (237) ◽  
Author(s):  
Troy Matheson
Keyword(s):  
Housing Market ◽  
Systemic Risk ◽  
Financial Stability ◽  
Property Tax ◽  
Policy Instruments ◽  
Policy Instrument ◽  
Housing Affordability ◽  
Tax Rates ◽  
Macroprudential Policy ◽  
Property Transfer

Housing market imbalances are a key source of systemic risk and can adversely affect housing affordability. This paper utilizes a stylized model of the Canadian economy that includes policymakers with differing objectives—macroeconomic stability, financial stability, and housing affordability. Not surprisingly, when faced with multiple objectives, deploying more policy instruments can lead to better outcomes. The results show that macroprudential policy can be more effective than policies based on adjusting propertytransfer taxes because property-tax policy entails excessive volatility in tax rates. They also show that if property-transfer taxes are used as a policy instrument, taxes targeted at a broader-set of homebuyers can be more effective than measures targeted at a smaller subset of homebuyers, such as nonresident homebuyers.

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