Showing 1 - 10 of 459
We use event study methods to compare the market reaction to U.S. and EU-wide stress tests performed from 2009 to 2013. Typically, stress tests have a positive impact on stressed banks' returns. While the 2009 U.S. stress test had a large positive outcome, the impact of subsequent U.S. exercises...
Persistent link: https://www.econbiz.de/10013023274
Combining balance sheet data on 900,000 firms from 48 countries with information on the adoption of macroprudential policies during 2003-2011, we find that these policies are associated with lower credit growth. These effects are especially significant for micro, small and medium enterprises...
Persistent link: https://www.econbiz.de/10012895116
We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly aimed at addressing market failures; understanding and incorporating into...
Persistent link: https://www.econbiz.de/10013055666
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the...
Persistent link: https://www.econbiz.de/10012907939
The concentration of risk within financial system is considered to be a source of systemic instability. We propose a theory to explain the structure of the financial system and show how it alters the risk taking incentives of financial institutions. We build a model of portfolio choice and...
Persistent link: https://www.econbiz.de/10014351992
Housing market developments are in the spotlight in Europe. Over-stretched valuations amid tightening financial conditions and a cost-of-living crisis have increased risks of a sustained downturn and exposed challenging trade-offs for macroprudential policy between ensuring financial system...
Persistent link: https://www.econbiz.de/10014355770
This paper documents the features of a new database that focuses on changes in the intensity in the usage of several widely used prudential tools, taking into account both macro-prudential and micro-prudential objectives.The database coverage is broad, spanning 64 countries, and with quarterly...
Persistent link: https://www.econbiz.de/10012977860
In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. Wefind that the introduction of a...
Persistent link: https://www.econbiz.de/10013073679
This paper analyzes cross-border macrofinancial spillovers from a variety ofmacroprudential policy measures, using a range of quantitative methods. Event study andpanel regression analyses find that liquidity and sectoral macroprudential policy measuresoften affect cross-border bank credit,...
Persistent link: https://www.econbiz.de/10012948532
How does monetary policy impact upon macroprudential regulation? This paper models monetary policy's transmission to bank risk taking, and its interaction with a regulator's optimization problem. The regulator uses its macroprudential tool, a leverage ratio, to maintain financial stability,...
Persistent link: https://www.econbiz.de/10012996077