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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
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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
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G-20 Data Gaps Initiative II : Meeting the Policy Challenge
Heath, Robert - 2016
Ministers and Central Bank Governors in September 2015. The DGI-2 recommendations maintain the continuity of DGI-1 but …
Persistent link: https://www.econbiz.de/10012996036
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A Behavioral Approach to Financial Supervision, Regulation, and Central Banking
Khan, Ashraf - 2018
This paper describes how behavioral elements are relevant to financial supervision,regulation, and central banking. It focuses on (1) behavioral effects of norms (social, legal,and market); (2) behavior of others (internalization, identification, and compliance); and(3) psychological biases. It...
Persistent link: https://www.econbiz.de/10012912488
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Fat-Tails and Their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
Chan-Lau, Jorge A. - 2011
The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it is shown that the correlation bias shifts shareholder...
Persistent link: https://www.econbiz.de/10013128782
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Measuring Systemic Risk-Adjusted Liquidity (SRL) : A Model Approach
Jobst, Andreas (Andy) - 2013
Little progress has been made so far in addressing - in a comprehensive way - the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines...
Persistent link: https://www.econbiz.de/10013083627
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Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems
Jobst, Andreas (Andy) - 2017
Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis …
Persistent link: https://www.econbiz.de/10012956502
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Macroprudential Policy and Financial Stability in the Arab Region
Prasad, A. - 2016
Several characteristics of the structure of the Arab economies, their economic policy framework, and their banking systems make macroprudential policy a particular relevant tool. For most oil exporters, heavy reliance on the extractive sector for generating fiscal revenues and export earnings...
Persistent link: https://www.econbiz.de/10012977737
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The Regulatory Responses to the Global Financial Crisis : Some Uncomfortable Questions
Claessens, Stijn - 2014
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
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Cyber Risk, Market Failures, and Financial Stability
Kopp, Emanuel - 2017
Cyber-attacks on financial institutions and financial market infrastructures are becomingmore common and more sophisticated. Risk awareness has been increasing, firms activelymanage cyber risk and invest in cybersecurity, and to some extent transfer and pool theirrisks through cyber liability...
Persistent link: https://www.econbiz.de/10012948520