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A Profit-to-Provisioning Approach to Setting the Countercyclical Capital Buffer : The Czech Example
Pfeifer, Lukáš; Hodula, Martin - 2021
Over the last few years, national macroprudential authorities have developed different strategies for setting the countercyclical capital buffer (CCyB) rate in the banking sector. The existing approaches are based on various indicators used to identify the current phase of the financial cycle....
Persistent link: https://www.econbiz.de/10013315073
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Exchange Rates and Domestic Credit-Can Macroprudential Policy Reduce the Link?
Nier, Erlend; Olafsson, Thorvardur Tjoervi; Rollinson, … - 2021
This paper examines empirically the role of macroprudential policy in addressing the effects of external shocks on financial stability. In a sample of 62 economies over the period of 2000: Q1-2016: Q4, our dynamic panel regressions show that an appreciation of the local exchange rate is...
Persistent link: https://www.econbiz.de/10013315105
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Macroprudential Stress Test of the Euro Area Banking System
Budnik, Katarzyna Barbara; Balatti, Mirco; Covi, Giovanni; … - 2021
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...
Persistent link: https://www.econbiz.de/10013315366
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Should monetary policy lean against the wind in a small-open economy? : revisiting the Tinbergen rule
Peña, Rogelio De la - 2021
The frequencies at which prices and wages are adjusted, interpreted as price and wage flexibility, are key elements in workhorse models used for policy analysis. Yet, there is little evidence regarding the relationship between these two sources of nominal rigidities. Using two large and highly...
Persistent link: https://www.econbiz.de/10012496976
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Taking up the climate change challenge: a new perspective on central banking
D'Orazio, Paola; Popoyan, Lilit - 2020
analysis emphasizes the importance of having a central bank that hosts the green prudential regulation under its governance … role of countries' institutional dimension and central bank governance structures in the adoption of green prudential … regulation is, however, overlooked in the current discussion. The paper fills this gap by proposing an analysis of the state …
Persistent link: https://www.econbiz.de/10012240346
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Compositional effects of O-SII capital buffers and the role of monetary policy
Reghezza, Alessio; D'Acri, Costanza Rodriguez; … - 2020
We investigate the impact of macroprudential capital requirements on bank lending behaviour across economic sectors, focusing on their potentially heterogenous effects and transmission channel. By employing confidential loan-level data for the euro area over 2015-18, we find that the reaction of...
Persistent link: https://www.econbiz.de/10012241280
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The interaction between macroprudential and monetary policies: the cases of Norway and Sweden
Cao, Jin; Dinger, Valeriya; Grodecka, Anna; Juelsrud, … - 2020 - This version: July, 2020
To shed light on the interaction between macroprudential and monetary policies, we study the inward transmission of foreign monetary policy in conjunction with domestic macroprudential and monetary policies in Norway and Sweden. Using detailed bank-level data we show how Norwegian and Swedish...
Persistent link: https://www.econbiz.de/10012243617
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The fiscal footprint of macroprudential policy
Reis, Ricardo - 2020
Monetary policy leaves a fiscal footprint. In some circumstances, relieving the fiscal burden becomes the main goal of policy, and inflation control is subordinate. This article notes that the same is true of macroprudential policy, and it characterizes the size and sign of its fiscal footprint,...
Persistent link: https://www.econbiz.de/10012222608
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Banking euro area stress test model
Budnik, Katarzyna; Mozzanica, Mirco Balatti; Dimitrov, Ivan - 2020
The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area banks with that of the euro area economies. It...
Persistent link: https://www.econbiz.de/10012286943
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The interaction between macroprudential and monetary policies : the cases of Norway and Sweden
Cao, Jin; Dinger, Valeriya; Grodecka, Anna; Juelsrud, … - 2020
To shed light on the interaction between macroprudential and monetary policies, we study the inward transmission of foreign monetary policy in conjunction with domestic macroprudential and monetary policies in Norway and Sweden. Using detailed bank-level data we show how Norwegian and Swedish...
Persistent link: https://www.econbiz.de/10012271409