Excessive credit growth and high asset prices increase systemic risks. Because, in equilibrium, these two variables are jointly determined the analysis of systemic risk and the cost-benefit analysis of macroprudential regulation require a specific framework consistent with the existing empirical...

This paper draws implications for the effective operation of an MaPP framework based on the experiences during the 2000s of Korea. Korea had in fact operated several MaPP measures, but could not shield itself from the impacts of the global financial crisis in 2008 because of a new type of...

This paper draws implications for the effective operation of an MaPP framework based on the experiences during the 2000s of Korea. Korea had in fact operated several MaPP measures, but could not shield itself from the impacts of the global financial crisis in 2008 because of a new type of...

In this paper, I show that the existence of non-bank financial institutions (NBFIs) has implications for the optimal regulation of the traditional banking sector. I develop a New Keynesian DSGE model for the euro area featuring a heterogeneous financial sector allowing for potential credit...

The growing concern about the financial system stability has turned macroprudential policy into a key instrument of the policy mix. Through a two-country model for a monetary union, I evaluate the optimal combinations of macroprudential and fiscal policy, both in terms of welfare maximization...

This paper studies the extent to which biased policy preferences, motivated by narrow institutional mandates, affect the gains from coordination between monetary policy(which may respond to financial imbalances) and macroprudential regulation (in the form of capital requirements) in responding...

Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario....

This paper studies the effectiveness of micro- and macroprudential policy tools in the euro area. The established empirical literature on macroprudential policy generally considers panel estimations that suffer from two estimation biases, i.e., a selection bias and a time bias. We control for...

Banks create excessive systemic risk through leverage and maturity mismatch, as financial constraints introduce welfare-reducing pecuniary externalities.  Macroprudential regulators can achieve efficiency with simple linear constraints on banks' balance sheets, which require less information...

We use data on UK banks’ minimum capital requirements to study the interaction of monetary policy and capital requirement regulation. UK banks were subject to both time-varying capital requirements and changes in interest rate policy. Tightening of either capital requirements or monetary...