Similar Search Results

Optimal Macroprudential Policy and Asset Price Bubbles

Biljanovska, Nina - 2019

An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond...

Persistent link: https://www.econbiz.de/10012862442

Interconnectedness and Contagion Analysis : A Practical Framework

Bricco, Jana Gieck - 2019

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …

Persistent link: https://www.econbiz.de/10012858959

Macroprudential Stress Tests : A Reduced-Form Approach to Quantifying Systemic Risk Losses

Alla, Zineddine - 2018

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects … effects of interconnectedness structures that are consistent with markets' perceptions of risk. We then show how SE losses can …

Persistent link: https://www.econbiz.de/10012907939

Cyclical Patterns of Systemic Risk Metrics : Cross-Country Analysis

Iossifov, Plamen K.; Schmidt, Tomas Dutra - 2021

We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies … patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas … mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that …

Persistent link: https://www.econbiz.de/10013243043

Financial Crises Explanations, Types, and Implications

Claessens, Stijn - 2013

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...

Persistent link: https://www.econbiz.de/10013086317

Financial Soundness Indicators and the Characteristics of Financial Cycles

Che, Natasha - 2014

Better “financial soundness” of banks could help mitigate the volatility of financial cycles by reducing banks' risk …

Persistent link: https://www.econbiz.de/10013058441

Internal Capital Markets in Business Groups and the Propagation of Credit Supply Shocks

Shi, Yu - 2019

Using business registry data from China, we show that internal capital markets in business groups can propagate corporate shareholders' credit supply shocks to their subsidiaries. An average of 16.7% local bank credit growth where corporate shareholders are located would increase subsidiaries...

Persistent link: https://www.econbiz.de/10012868268

Mitigating the Deadly Embrace in Financial Cycles : Countercyclical Buffers and Loan-to-Value Limits

Beneš, Jaromír - 2016

This paper presents a new version of MAPMOD (Mark II) to study the effectiveness of macroprudential regulations. We extend the original model by explicitly modeling the housing market. We show how household demand for housing, house prices, and bank mortgages are intertwined in what we call a...

Persistent link: https://www.econbiz.de/10012977752

Loose Financial Conditions, Rising Leverage, and Risks to Macro-Financial Stability

Xu, Yizhi; Gan, Ken; Wang, Manchun; Barajas, Adolfo; … - 2022

intertemporal tradeoff: financial stability risk is lessened in the near term but exacerbated in the medium term. The tradeoff is …

Persistent link: https://www.econbiz.de/10013305586

Financial Cycles – Early Warning Indicators of Banking Crises?

Chen, Sally; Svirydzenka, Katsiaryna - 2022

Can the upturns and downturns in financial variables serve as early warning indicators of banking crises? Using data from 59 advanced and emerging economies, we show that financial overheating can be detected in real time. Equity prices and output gap are the best leading indicators in advanced...

Persistent link: https://www.econbiz.de/10013305628