Narrow search
Showing 1 - 10 of 1,638
Cover Image
Macroprudential Policy and Bank Systemic Risk : Does Inflation Targeting Matter?
Belkhir, Mohamed; Ben Naceur, Sami; Candelon, Bertrand; … - 2023
This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … such effects. Using bank-level data for 45 countries comprising various monetary and exchange rate regimes, our regime … tightening of most macroprudential tools—including DSTI and LTV limits, and capital requirements—reduces bank systemic risk …
Persistent link: https://www.econbiz.de/10014354108
Cover Image
Cross-Border Banking and the Circumvention of Macroprudential and Capital Control Measures
Cerutti, Eugenio - 2018
We analyze the joint impact of macroprudential and capital control measures on cross-border banking flows, while controlling for multidimensional aspects in lender-and-borrower-relationships(e.g., distance, cultural proximity, microprudential regulations). We uncover interesting spillover...
Persistent link: https://www.econbiz.de/10012907951
Cover Image
How Effective is Macroprudential Policy? Evidence from Lending Restriction Measures in EU Countries
Poghosyan, Tigran - 2019
This paper assesses the effectiveness of lending restriction measures, such as loan-to-value and debt-service-to-income ratios, in affecting developments in house prices and credit. We use data on 99 lending standard restrictions implemented in 28 EU countries over 1990-2018. The results suggest...
Persistent link: https://www.econbiz.de/10012889146
Cover Image
Will Macroprudential Policy Counteract Monetary Policy's Effects on Financial Stability?
Agur, Itai - 2016
bank risk taking, and its interaction with a regulator's optimization problem. The regulator uses its macroprudential tool … to partly "pass through" to bank soundness by not neutralizing the risk-taking channel of monetary policy. Thus, monetary …
Persistent link: https://www.econbiz.de/10012996077
Cover Image
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 (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
Cover Image
Macroprudential Policy Spillovers : A Quantitative Analysis
Kang, Heedon - 2017
policy measuresoften affect cross-border bank credit, whereas capital measures do not. This empiricalevidence is stronger for … concentrated. Consistently,structural model based simulation analysis indicates that output and bank credit spilloversfrom sectoral …
Persistent link: https://www.econbiz.de/10012948532
Cover Image
Informality, Frictions, and Macroprudential Policy
Hassine, Moez Ben - 2020
We analyze the effects of macroprudential policies through the lens of an estimated dynamic stochastic general equilibrium (DSGE) model tailored to developing markets. In particular, we explicitly introduce informality in the labor and goods markets within a small open economy embedding...
Persistent link: https://www.econbiz.de/10012843520
Cover Image
The Costs of Macroprudential Deleveraging in a Liquidity Trap
Chen, Jiaqian - 2020
We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term...
Persistent link: https://www.econbiz.de/10012828224
Cover Image
Monetary and Macroprudential Policy with Endogenous Risk
Adrian, Tobias; Duarte, Fernando; Liang, Nellie; … - 2021
We extend the New Keynesian (NK) model to include endogenous risk. Lower interest rates not only shift consumption intertemporally but also conditional output risk via their impact on risk-taking, giving rise to a vulnerability channel of monetary policy. The model fits the conditional output...
Persistent link: https://www.econbiz.de/10013252204
Cover Image
Drivers of Financial Access : The Role of Macroprudential Policies
Deléchat, Corinne - 2020
be associated with greater resort to informal financial services compared with formal, bank-based access. This highlights …
Persistent link: https://www.econbiz.de/10012829697