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Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps
Alessandri, Piergiorgio; Bologna, Pierluigi; Galardo, … - 2020
The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate...
Persistent link: https://www.econbiz.de/10012423691
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Systemic Risk and the Great Depression
Das, Sanjiv Ranjan - 2019
We employ a unique hand-collected dataset and a novel methodology to examine systemic risk before and after the largest U.S. banking crisis of the 20th century. Our systemic risk measure captures both the credit risk of an individual bank as well as a bank’s position in the network. We...
Persistent link: https://www.econbiz.de/10012892160
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Banking panic risk and macroeconomic uncertainty
Mikkelsen, Jakob Guldbæk; Poeschl, Johannes - 2020
We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production economy with a banking sector where financial constraints of banks can lead to disastrous banking panics. We find that a higher probability of a banking panic increases...
Persistent link: https://www.econbiz.de/10012149870
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Margin Procyclicality and Systemic Risk
Bakoush, Mohamed - 2018
We develop a model in which margin procyclicality, asset market depth and banks' propensity for liquidity hoarding interact to generate a systemic liquidity crisis. In this model, banks trade derivatives to hedge market risk or to speculate on interest rate movements. To mitigate counterparty...
Persistent link: https://www.econbiz.de/10012934168
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Macroprudential stress test of the euro area banking system
Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...
Persistent link: https://www.econbiz.de/10012033284
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Securitization, deregulation, economic stability, and financial crisis
Tymoigne, Éric (contributor) - 2009
other sectors of the economy, where regulation and supervision are proactive and carefully implemented in order to guarantee … the safety of society. The criterion for regulation and supervision should be neither Wall Street’s nor Main Street … to develop safe and reliable financial practices. -- Financial crisis ; economic boom ; Minsky ; regulation ; supervision …
Persistent link: https://www.econbiz.de/10003942985
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Electoral Cycles in Macroprudential Regulation
Müller, Karsten - 2020
Do politics matter for macroprudential policies? I show that changes in macroprudential regulation exhibit a predictable electoral cycle in the run-up to 221 elections across 58 countries from 2000 through 2014. Policies restricting mortgages and consumer credit are systematically looser before...
Persistent link: https://www.econbiz.de/10012852520
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Electoral Cycles in Macroprudential Regulation
Müller, Karsten - 2021
Do politics matter for macroprudential policy? I show that changes to macroprudential regulation exhibit a predictable electoral cycle in the run-up to 221 elections across 58 countries from 2000 through 2014. Policies restricting mortgages and consumer credit are systematically less likely to...
Persistent link: https://www.econbiz.de/10013315065
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Electoral cycles in macroprudential regulation
Müller, Karsten - 2019
Do politics matter for macroprudential policy? I show that changes to macroprudential regulation exhibit a predictable electoral cycle in the run-up to 221 elections across 58 countries from 2000 through 2014. Policies restricting mortgages and consumer credit are systematically less likely to...
Persistent link: https://www.econbiz.de/10012135983
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Macroprudential Policy, Mortgage Cycles and Distributional Effects : Evidence from the UK
Peydró, José-Luis - 2020
Macroprudential regulators worldwide have introduced regulations to limit household leverage in light of existing evidence which suggests that high leverage is associated with household distress during crisis. We analyse the distributional effects of such a macroprudential policy on mortgage and...
Persistent link: https://www.econbiz.de/10012832639