In this paper, relying on a time-varying parameters FAVAR model, two credit supply factors are calculated, the first of which is identified as willingness to lend, while the second as lending capacity. The impact of these two types of credit supply shocks on macroeconomic variables and their...

Our study presents the top-down stress testing framework currently used by the Magyar Nemzeti Bank. We run separate solvency and liquidity stress tests to analyse the ability of the banking system to absorb shocks and we present their results in our Report on Financial Stability. In the former,...

We use European and simulated Hungarian data to search for the univariate one-sided credit-to-GDP gap that predicts systemic banking crises most accurately. The credit-to-GDP gaps under review are optimized along four dimensions: (1) definition of outstanding credit, (2) forecasting method for...