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1
Milan, Marcelo. „Macrofinancial Risks and Liquidity Preference“. International Journal of Political Economy 43, Nr. 1 (April 2014): 43–64. http://dx.doi.org/10.2753/ijp0891-1916430106.
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Hacibedel, Burcu. „Assessing Macrofinancial Risks from Crypto Assets“. IMF Working Papers 2023, Nr. 214 (September 2023): 1. http://dx.doi.org/10.5089/9798400255083.001.
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3
Sprincean, Nicu. „Early warning indicators for macrofinancial activity in romania“. Review of Economic and Business Studies 12, Nr. 1 (01.06.2019): 137–62. http://dx.doi.org/10.1515/rebs-2019-0087.
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AbstractOverheating of economic and financial activities leads to macrofinancial imbalances that may disrupt financial stability, and can be detected by studying relevant indcators. In this study we developed an aggregate early warning index of macrofinancial activity for Romania over the 1998q1-2020q4 period, employing data from six categories: (i) macroeconomic risks, (ii) bank risks, (iii) activity of corporations and households, (iv) monetary and financial conditions, (v) risk appetite and (vi) external shocks. We determine the utility of these variables from two perspectives: (i) whether these indicators are able to detect overheating of macrofinancial activity in Romania in two periods characterized by systemic crises and (ii) whether these variables successfully minimize various statistical errors involved in forecasting future events. Comparing the evolution of our index with a series of indicators that measure investors’ perception of macrofinancial stability or the probability of default of Romanian economy, we note the positive correlation between these two, but our index exhibits a more pronounced early warning component, making it extremely useful in anticipating future systemic crises.
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Yu, Chaoyi, und Zhice Wang. „A Study on How International Portfolio Investment Flows Affect Macrofinancial Risks and Control Channels“. Discrete Dynamics in Nature and Society 2023 (02.03.2023): 1–24. http://dx.doi.org/10.1155/2023/1888284.
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In the current complex global economic background, international capital flows are becoming more frequent. Based on this, this paper takes international portfolio investment as the research object and empirically tests the causal relationship and control channel between international portfolio flows and macrofinancial risk in emerging economies. It selects the panel data of emerging economies from 2001 to 2020, constructs macrofinancial risk indicators by using contingent claim analysis and the entropy-based TOPSIS method, tests the effect of international portfolio flows on macrofinancial risk by using the panel distributed lag regression model, and explores the management effect of foreign exchange reserves and capital controls on the risk effect by using the panel threshold regression model. The results show that long-term international portfolio flows help reduce macrofinancial risk, but short-term capital flows appear to increase macrofinancial risk. In addition, both foreign exchange reserves and capital controls effectively reduce the risk effect of portfolio flows. However, when considering different types of portfolios, we find that foreign exchange reserves do not effectively control the risk effect of equity securities flows, while stricter capital controls do. This paper argues that emerging economies should be more open to international long-term portfolio flows, focus on the monitoring of short-term portfolio capital flows and equity securities flows, and coordinate the use of foreign exchange reserves and capital control instruments to manage the risk effects of portfolio flows. This paper verifies the risk effect of international portfolio investment flows through empirical analysis, tests the effectiveness of foreign exchange reserves and capital controls, and provides a decision-making reference for emerging economies to timely identify, effectively manage, and prevent the risk effect of international capital flows.
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Feng, Chengxiao, Zhubo Li und Zhen Peng. „The Impact of Banking Competition on Firm Credit Risk and Leverage“. SAGE Open 11, Nr. 4 (Oktober 2021): 215824402110615. http://dx.doi.org/10.1177/21582440211061529.
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A firm’s default risk is closely related to its macrofinancial stability. As financial reform deepens, banking competition may ease firms’ credit constraints, encouraging them to increase their leverage and default risks. This study uses contingent claims analysis to examine firms’ asset–liability ratio and default distance. We find that companies have low leverage and low overall default risks. Moreover, a pro-cyclical effect exists between leverage and economic growth. As banking competition becomes more intense, the default risk decreases, but firms’ leverage ratio rises significantly. The impact is more prominent for highly leveraged firms. Our findings also indicate that utilizing the contingent claims analysis method to measure firms’ leverage and default risks provides more accurate results. Moreover, we provide empirical evidence of the impact of banking competition on firms’ leverage and credit risks. The results suggest that enhancing financial competition has a positive effect on easing credit constraints and reducing default risks.
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Merton, Robert C., Monica Billio, Mila Getmansky, Dale Gray, Andrew W. Lo und Loriana Pelizzon. „On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)“. Financial Analysts Journal 69, Nr. 2 (März 2013): 22–33. http://dx.doi.org/10.2469/faj.v69.n2.5.
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Andres–Escayola, Erik, Juan Carlos Berganza, Rodolfo G. Campos und Luis Molina. „A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico“. Latin American Journal of Central Banking 4, Nr. 1 (März 2023): 100079. http://dx.doi.org/10.1016/j.latcb.2022.100079.
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Dafermos, Yannis, und Maria Nikolaidi. „How can green differentiated capital requirements affect climate risks? A dynamic macrofinancial analysis“. Journal of Financial Stability 54 (Juni 2021): 100871. http://dx.doi.org/10.1016/j.jfs.2021.100871.
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Adrian, Tobias, Federico Grinberg, Nellie Liang, Sheheryar Malik und Jie Yu. „The Term Structure of Growth-at-Risk“. American Economic Journal: Macroeconomics 14, Nr. 3 (01.07.2022): 283–323. http://dx.doi.org/10.1257/mac.20180428.
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We show that the conditional distribution of forecasted GDP growth depends on financial conditions in a panel of 11 advanced economies. Financial conditions have a larger effect on the lower fifth percentile of conditional growth—which we call growth-at-risk (GaR)—than the median. In addition, the term structure of GaR reflects that when initial financial conditions are loose, downside risks are lower in the near term but increase in later quarters. This intertemporal tradeoff for loose financial conditions is amplified when credit-to-GDP growth is rapid. Using granular instrumental variables, we also provide evidence that the relationship from loose financial conditions to future downside risks is causal. Our results suggest that models of macrofinancial linkages should incorporate the endogeneity of higher-order moments to systematically account for downside risks to growth in the medium run. (JEL E23, E27, E32, E44)
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Vučinić, Milena. „Fintech and Financial Stability Potential Influence of FinTech on Financial Stability, Risks and Benefits“. Journal of Central Banking Theory and Practice 9, Nr. 2 (01.05.2020): 43–66. http://dx.doi.org/10.2478/jcbtp-2020-0013.
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AbstractSince the last global financial crisis supervisory mechanisms and regulations have become more stringent which have significantly improved resilience of banks therefore positively affecting financial stability. Apart from traditional financial institutions which have been supervised according to strict regulations and standards technological development in financial services commonly called FinTech have introduced new trends providing fast peer to peer lending which directly matches lenders and borrowers thus putting more pressure to policymakers and supervisors.This paper presents potential implications of FinTech developments to financial stability, while explaining FinTech influence to market structure as well as benefits and risks of technologically driven financial innovations to financial stability.The paper stresses out an importance of international cooperation of regulators in order to preserve financial stability in the recent world of technological changes and innovations. FinTech has changed consumers’ expectations and preferences while increasing the number of users expecting fast and easily accessible services available on mobile phones and other electronic devices. The paper shows that new technology provides the space for expanding financial services but it also poses additional risks to financial system in terms of microfinancial and macrofinancial risks.
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Bakır, Caner, und Mehmet Kerem Çoban. „How can a seemingly weak state in the financial services industry act strong? The role of organizational policy capacity in monetary and macroprudential policy“. New Perspectives on Turkey 61 (31.10.2019): 71–96. http://dx.doi.org/10.1017/npt.2019.16.
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AbstractIt is widely held in the public policy and political economy literatures that the Turkish state is weak and cannot adopt a proactive approach in the financial services industry by steering and coordinating the financial policy network. However, it is puzzling that this seemingly “weak” Turkish state, which is often marked by fragmentation, conflict, and a lack of policy coordination within the state apparatus, acted strongly between 2010 and 2016 by taking pre-emptive measures to contain the macrofinancial risks arising from hot money inflows and bank credit expansion. Examining the organizational policy capacity of the Central Bank of the Republic of Turkey, this article argues that proactive policy design and implementation are more likely to complement state capacity when the principal bureaucratic actors have strong organizational policy capacities.
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Dou, Winston W., Andrew W. Lo, Ameya Muley und Harald Uhlig. „Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective“. Annual Review of Financial Economics 12, Nr. 1 (01.11.2020): 95–140. http://dx.doi.org/10.1146/annurev-financial-012820-025928.
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We provide a critical review of macroeconomic models used for monetary policy at central banks from a finance perspective. We review the history of monetary policy modeling, survey the core monetary models used by major central banks, and construct an illustrative model for those readers who are unfamiliar with the literature. Within this framework, we highlight several important limitations of current models and methods, including the fact that local-linearization approximations omit important nonlinear dynamics, yielding biased impulse-response analysis and parameter estimates. We also propose new features for the next generation of macrofinancial policy models, including a substantial role for the financial sector, the government balance sheet, and unconventional monetary policies; heterogeneity, reallocation, and redistribution effects;the macroeconomic impact of large nonlinear risk premium dynamics; time-varying uncertainty; financial sector and systemic risks; imperfect product market and markups; and further advances in solution, estimation, and evaluation methods for dynamic quantitative structural models.
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BURLAY, Tetiana, Andrii GRYTSENKO und Olena BORZENKO. „SOCIETAL CONSEQUENCES OF MODERN HYBRID WAR: KEY DIMENSIONS IN THE CONTEXT OF UKRAINE“. Issue Vol 22, No 2 (2023), Vol 22, No 2 (2023) (01.06.2023): 158–83. http://dx.doi.org/10.35774/jee2023.02.158.
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Russian-Ukrainian war is the gravest display of the global tension in the hybrid system where war and peace compete as dominant world orders. In view of this, the paper presents the key dimensions of warfare’s societal consequences in the context of the Ukrainian situation. Notably, the ongoing full-scale military conflict has all the characteristics of a hybrid war, unprecedented in its scale in the contemporary history of Europe. In the context of creating a strategic vision of postwar recovery goals and long-term development of the Ukrainian state, the societal consequences of a hybrid war waged against Ukraine must be investigated. The example of Ukraine is used as a backdrop for a detailed assessment of societal consequences of a modern hybrid war in three dimensions – demographic, socio-economic, and macrofinancial aspects. Analysis results indicate the risks inherent in offsetting the societal consequences of the Russian invasion into Ukraine. It is concluded that societal methodology is suitable for exploring the current dynamic transformations in society and its integral structures, and that the application of this methodology should be popularized.
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OPARIN, Valerij, und Tetiana PAIENTKO. „Macrofinance as a new trend in finance research“. Fìnansi Ukraïni 2023, Nr. 4 (04.08.2023): 92–104. http://dx.doi.org/10.33763/finukr2023.04.092.
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Introduction. Financial science like any other social activity area is constantly evolving. This is manifested in a deeper study of theoretical concepts and the use of innovative financial instruments and technologies and in identifying new research areas on financial phenomena. In recent years, Ukrainian financial science has focused on the problems of public finance and the development of the financial infrastructure of society. At the same time, Western financial thought is actively developing research in the field of macrofinance, positioning macrofinance as a new direction not only in theory but also in practice. Problem Statement. This research is driven by the need to identify and quantify the relationships and interdependencies between individual macro-level components, to assess risks and their impact on the macro environment, and prevent crisis phenomena on this basis. Purpose. The aim is to characterize macrofinance as a new trend in financial research. Methods. The research is based on the exploratory methodology. Results. The article characterizes three main trends in the development of macrofinance as an independent direction in financial science and practice: the emergence and development of a new direction in research, the growth of educational programs in foreign universities with the keyword “macrofinance” and the creation of project groups and departments in leading research universities; the allocation of the macrofinancial aspect in the practice of financial management. Conclusions. The need for practice explains the popularity of macrofinanceas a separate area of research. In Ukraine, it is already necessary to build a theoretical basis for macrofinance as a separate research area, which is necessary to integrate Ukrainian financial science into the world community. The experience of developing the practical foundations of macrofinance in Western Europe should signal to Ukraine that it is necessary to gradually create a regulatory framework for equal cooperation with Western countries in macrofinance. Ukrainian higher education institutions should study the proposals of leading Western universities regarding educational programs and courses, which will ensure the modernization of domestic educational programs in finance and increase the opportunities for academic mobility of students and professors.
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Kolodiziev, Oleh M., und Volodymyr O. Berehovyi. „Financial Security of Banks under Martial Law: The Impact of Digital Instruments and Innovations“. Business Inform 9, Nr. 560 (2024): 335–41. https://doi.org/10.32983/2222-4459-2024-9-335-341.
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The article is aimed at generalizing approaches to determining the impact of the introduction of innovations in banking activity on the financial security of banks, taking into account the stage of actuation of the processes of digitalization of the national economy, as well as specifying the key features and characteristics of threats to financial security under martial law. The article verifies the key role of the banking system in ensuring macrofinancial and price stability, which remains a pivotal prerequisite both for stabilizing business and population expectations and for economic recovery. The article studies the trends in the development of digitalization processes in the context of globalization of the world economy and in Ukraine. Based on the results of the generalization of the opinions of scientists, the features of the functioning of the modern financial ecosystem in the era of digitalization of the development of the world economy are determined. It is substantiated that with the growth of the level of digitalization of the economy and changes in customer needs, the objective of banks is not only to ensure the efficiency of financial services, but also to attract customers with the help of contemporary and innovative solutions. Several approaches to determining the parameters of influence on the financial security of banks are proposed, the directions of further research on clarifying specific risks in the activities of banks under the conditions of wartime economy (martial law), special instruments for diagnosing and assessing the parameters of financial security of banks are specified. The expediency of using appropriate financial instruments for the development of lending, strengthening the financial potential of the banking system of Ukraine and adequately responding to the challenges of crisis phenomena through the introduction of innovations, which will create the basis for the post-war recovery of the Ukrainian economy, is proved.
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„Approaches to Macrofinancial Surveillance in Article IV Reports“. Policy Papers 17, Nr. 13 (28.03.2017). http://dx.doi.org/10.5089/9781498347037.007.
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The Fund has made good progress over the past two years in integrating macrofinancial analysis into Article IV surveillance for a wide range of members. Building on past work to enhance financial sector analysis, Fund staff has sought to develop a consistent and forward-looking view on how the financial sector affects each member’s economic outlook with the aim of strengthening staff’s capacity to provide advice on macro-critical questions. The focus has been on developing a fuller understanding of macrofinancial linkages, and applying this analysis to inform policy advice. Staff has sought to articulate the role of the financial sector in the macroeconomic baseline, and to integrate the financial sector into the risk assessment, taking into account both the impact of macro shocks on the financial sector as well as the effect of financial shocks on macroeconomic stability. Strengthening the analytical foundations of this work has helped staff provide advice in all policy areas, including financial sector policies. Staff has tailored macrofinancial analysis to the circumstances of a diverse set of economies. Area departments have taken the lead in selecting 66 economies for enhanced macrofinancial coverage and in identifying topics, drawing on targeted support from functional departments. The choice of coverage has included legacies from the global financial crisis—such as deleveraging and stretched balance sheets in advanced economies and some emerging markets—and more recent challenges such as commodity price shocks, especially in low income countries, and the risks of housing booms. The financial sector’s contribution to growth and inclusion has become an important question in countries across all income groups. Staff sees benefits in mainstreaming this approach across the membership, while continuing to address analytical gaps and adapting to new challenges. The work of the past two years has underscored the criticality of macrofinancial analysis for a diverse range of members, and laid the basis for progressively mainstreaming macrofinancial surveillance across the membership. Building on this progress, staff sees scope for the Fund to deepen its understanding of the macroeconomic effects of financial shocks, to better adapt microprudential and macroprudential policy advice with an assessment of macro-critical risks including systemic risk, and to deepen the analysis of outward spillovers. Staff will also need to continue to adapt the focus of analysis and tools, and seek relevant data, as economic challenges evolve.
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Bespalova, Olga, und Marina Rousset. „Macrofinancial Linkages and Growth at Risk in the Dominican Republic“. IMF Working Papers 19, Nr. 246 (13.11.2019). http://dx.doi.org/10.5089/9781513519203.001.
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This paper uses the Growth-at-Risk (GaR) methodology to examine how macrofinancial conditions affect the growth outlook and its probability distribution. Using this approach, we evaluate risks to GDP growth in the Dominican Republic using quarterly data for 1996-2018. We group macrofinancial conditions in five principal determinants, based on 32 indicators. The Dominican Republic’s growth distribution appears most vulnerable to negative shocks to domestic financial conditions, domestic leverage, domestic demand, and external demand, with additional repercussions from the external cost of borrowing in the longer run. Our findings show that domestic monetary policy plays a particularly important role in reducing growth vulnerabilities when the economy is weak.
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Campiglio, Emanuele, und Frederick van der Ploeg. „Macrofinancial Risks of the Transition to a Low-Carbon Economy“. Review of Environmental Economics and Policy, 19.07.2022, 000. http://dx.doi.org/10.1086/721016.
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„A Macrofinancial Approach to Supervisory Standards Assessments“. Policy Papers 2014, Nr. 68 (18.08.2014). http://dx.doi.org/10.5089/9781498342889.007.
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Standards assessments serve several important objectives but are not well integrated into Fund surveillance. Financial standards assessments, when undertaken in the context of FSAPs, are used to identify weaknesses in financial regulation and supervision, or other areas covered by international standards. However, those weaknesses are not specifically linked to the risks and vulnerabilities facing the financial sector. Conversely, the analysis of country-specific vulnerabilities in the FSAP does not contribute to targeting the standard assessment effort, since the assessment must be exhaustive and cover the entire standard.
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„The Bahamas“. IMF Staff Country Reports 19, Nr. 202 (01.07.2019): 1. http://dx.doi.org/10.5089/9781498323307.002.
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Macrofinancial risks stem from the economy’s vulnerability to external shocks to tourism and real estate investment, exposure to frequent and severe hurricanes, and a small and illiquid real estate market. Stress tests reveal the overall banking system is resilient to a range of adverse scenarios given large aggregate capital and liquidity buffers. Some domestic banks and the two largest credit unions are more vulnerable to asset quality shocks and tail risk conditions. Asset quality and profitability are key determinants of financial institutions’ resilience to adverse shocks. Liquidity, market, sovereign and financial contagion risks are low. The offshore banking sector is not a source of traditional banking risks.
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Bodie, Zvi, Dale F. F. Gray und Robert C. Merton. „A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy“. SSRN Electronic Journal, 2006. http://dx.doi.org/10.2139/ssrn.936661.
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Iossifov, Plamen, und Tomas Dutra Schmidt. „Cyclical Patterns of Systemic Risk Metrics“. IMF Working Papers 21, Nr. 28 (05.02.2021). http://dx.doi.org/10.5089/9781513568652.001.
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We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995–2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that risks were underestimated by stress indicators in the run-up to the 2008 global financial crisis. The policy implications of conflicting risk signals would depend on the phase of the credit cycle.
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Mitchell, James, Aubrey Poon und Dan Zhu. „Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics“. Journal of Applied Econometrics, 18.04.2024. http://dx.doi.org/10.1002/jae.3049.
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SummaryQuantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two‐step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the “data speak.” Simulation evidence and an application revisiting GDP growth uncertainties in the United States demonstrate the flexibility of the nonparametric approach when constructing density forecasts from both frequentist and Bayesian quantile regressions. They identify its ability to unmask deviations from symmetrical and unimodal densities. The dominant macroeconomic narrative becomes one of the evolution, over the business cycle, of multimodalities rather than asymmetries in the predictive distribution of GDP growth when conditioned on financial conditions.
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Oura, Hiroko, und Liliana Schumacher. „Macrofinancial stress testing: Incorporating systemic risk perspectives into a stress testing framework“. Journal of Risk Management in Financial Institutions, 01.12.2013. http://dx.doi.org/10.69554/ggxv9675.
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Since the global financial crisis, stress testing has received renewed attention. On one hand, pre-crisis stress tests yielded largely benign results, which called into question the effectiveness of stress testing for detecting financial system-wide risks, namely systemic risks. On the other hand, stress testing now has enhanced roles for crisis management and financial sector oversight. In order to better shoulder these new roles, the stress testing framework should be improved, incorporating systemic risk perspectives. This article proposes best practice principles for such a framework, building on the lessons from the crisis. The test should be designed appropriately, including a clear understanding of the scope and objectives, knowledge of the key individual financial institutions in the system, their business models and main channels of risk transmission, and right decision on the test's perimeter and coverage. However, there will be limitations, regardless of refinements and improvements. One should therefore always be cautious about using test results in isolation: a well-rounded risk assessment should use stress tests with other tools to broaden the understanding of vulnerabilities.
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„New Zealand“. IMF Staff Country Reports 19, Nr. 303 (20.09.2019). http://dx.doi.org/10.5089/9781513514758.002.
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New Zealand’s expansion lost momentum in 2017-18, as some key drivers started to weaken. Despite the long expansion, inflation remains weak, reflecting imported disinflation as well as strong net inward migration, which has boosted labor supply. Macrofinancial vulnerabilities have increased with a housing boom but have been contained through macroprudential policy intervention. After recent declines, growth picked up in early 2019 and is expected to remain close to trend in 2019-20 on the back of increased policy support, despite external headwinds. Inflation should pick up gradually. Downside risks to the growth outlook have increased, reflecting: higher global risks; prospects for a weaker fiscal impulse given recent implementation lags; and the housing market cooling morphing into an actual downturn.
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Feng, Alan, und Haishi Li. „We Are All in the Same Boat“. IMF Working Papers 20, Nr. 13 (22.01.2021). http://dx.doi.org/10.5089/9781513564586.001.
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Are assets in a landlocked country subject to sea-level rise risk? In this paper, we study the cross-border spillovers of physical climate risks through international trade and supply chain linkages. As we base our findings on historical data between 1970 and 2018, we observe that globalization increased the similarity of countries’ global climate risk exposures. Exposures to foreign climatic disasters in major trade partner countries (both upstream and downstream) lower the home-country stock market valuation for the aggregate market and for the tradable sectors. We also find that exposures to foreign long-term climate change risks reduce the asset price valuations of the tradable sectors at home. Findings in this paper suggest that climate adaptation efforts in a country can have positive externalities on other countries’ macrofinancial performance and stability through international trade.
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Volz, Ulrich. „Climate-Proofing the Global Financial Safety Net“. Journal of Globalization and Development, 15.09.2022. http://dx.doi.org/10.1515/jgd-2020-0085.
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Abstract Although climate change poses a serious threat to macrofinancial stability and economic development, the global financial safety has so far failed to sufficiently address this challenge. This article reviews the extent to which the International Monetary Fund (IMF) has started to integrate climate change in its analytical and operational frameworks, showing significant shortcomings in addressing the risks emanating from climate change. Regional financing arrangements (RFAs) have to date not engaged or only very little in addressing climate-related risks. Against this backdrop, this article argues that the IMF and also RFAs need to climate-proof their policies and frameworks and puts forward eight recommendations: (i) mainstream systematic and transparent assessments of climate-related financial risks in all operations; (ii) introduce consistent, systematic, and universal appraisal and treatment of physical and transition risks in surveillance and monitoring for all countries; (iii) ensure that all policy recommendations are aligned with the Paris climate goals; (iv) advance disclosure of climate-related financial risks and promote sustainable finance and investment practices; (v) support member countries in mainstreaming climate risk analysis in public financial management; (vi) support climate-vulnerable countries in dealing with debt sustainability problems; (vii) develop lending instruments for climate emergency financing; and (viii) in the case of the IMF, explore options to use SDRs to support climate-vulnerable countries.
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Budnik, Katarzyna, Louis Boucherie und Jiří Panoš. „Measuring the macroprudential policy stance in the euro area with a semi‐structural model“. Economic Notes 53, Nr. 3 (07.08.2024). http://dx.doi.org/10.1111/ecno.12244.
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AbstractThis article proposes a methodology for measuring the macroprudential policy stance based on a forward‐looking distance‐to‐tail metric derived from a large‐scale semi‐structural model. The model reflects the dynamics of 89 significant euro area banks and 19 euro area economies and two endogenous amplification mechanisms: the real economy banking sector and solvency funding feedback loops. Our results reveal a slight tightening of the macroprudential policy stance from 2017 to the end of 2019 that partially stemmed from adjusting macroprudential capital buffers and the phase‐in of other systemwide banking sector policies reflecting macroprudential intentions. This trend is abruptly interrupted at the onset of the Covid‐19 pandemic, when pronounced macrofinancial uncertainty led to a substantial increase in tail risks and reappears in 2021. Our assessment also reveals a high degree of co‐movement in macroprudential stances across the euro area countries.
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Constant, Karine, Marion Davin, Gilles de Truchis und Benjamin Keddad. „The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk“. Energy Journal, 30.05.2024. http://dx.doi.org/10.1177/01956574241240293.
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This paper explores the comparative role of sovereign default risk and several high-frequency macrofinancial indicators that may explain the drop in European renewable energy stocks observed during the 2008 financial crisis and the European debt crisis. We use a two-state time-varying transition probability Markov-switching model to investigate how they impact the bull and bear market trends of renewable stocks. Our main finding is that public financing conditions, captured by sovereign default risks, play a key role in both market regimes, while the other variables affect the renewable energy stocks only in calm or turmoil periods. Moreover, sovereign risk is identified as the main determinant of the European renewable energy stock dynamics in both regimes in the period under review. Finally, we suggest that this effect may be due to the sensitivity of investors to the energy policy uncertainty, entailed by such a pressure on public finances. JEL Classification: G01, G15, Q42
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„France“. IMF Staff Country Reports 19, Nr. 321 (29.10.2019). http://dx.doi.org/10.5089/9781513517759.002.
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Corporates. The debt of French nonfinancial corporations has been on a rising trend in percent of GDP, especially in recent years, in contrast what is observed in peer European countries. This trend on non-consolidated data is mostly accounted for by bond issuances and loans among nonfinancial corporations (NFCs) while bank credit to NFCs has also grown but at a slower pace. While, across countries, French firms do not appear to be more indebted on average or to be more likely to have their debt-at-risk than their peers, there exists a tail of firms with debt-at-risk that has remained fatter than before the global financial crisis, despite the low interest rate environment. Moreover, some banks may have somewhat significant exposures to individual large indebted corporates. Stress tests show that under downside macrofinancial scenarios, corporate debt may increase significantly (up to around 11 percent of GDP in the broad sample of firms) but would remain broadly manageable. However, banks’ large exposures to corporates with debt at risk would increase significantly under the adverse scenario and in aggregate would amount to a significant share of capital. • Households. There is no clear evidence of vulnerabilities in households’ balance sheets at an aggregated level. Households have continued to build their financial net worth by accumulating financial assets even faster than debt. Their saving rate is healthy, and they appear to invest their inflows primarily in safe assets. Household debt is not high in international comparisons. However, some households—lower income, younger—may have experienced a deterioration of their balance sheet along certain dimensions. Such potential pockets of vulnerabilities should be further studied when data are available. The residential real market appears to be broadly aligned with its supply-side and demand-side fundamentals, and there are limited near-term downside risks to housing prices. However, there is a need to remain prudent, because the likelihood of adverse price developments is sensitive to negative shocks to macrofinancial conditions.
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„Guidance Note for Surveillance Under Article IV Consultations“. Policy Papers 09 (20.03.2015). http://dx.doi.org/10.5089/9781498344845.007.
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This note provides country teams with guidance on bilateral and multilateral surveillance in the context of Article IV consultations. It covers the following issues: Focus on stability. Stability is the organizing principle of surveillance. Article IV consultations should focus on the conduct of economic and financial policies pursued by members to promote present and prospective domestic and balance of payments stability, as well as global economic and financial stability. For the latter, Article IV consultations should discuss spillovers from members’ economic and financial policies that may significantly affect global stability, including alternative policy options that would minimize their adverse impact. Operational guidance. The note provides detailed guidance, suggestions and references in areas covered in surveillance including risks and spillovers, fiscal policy, macrofinancial and monetary policy, BOP stability, structural policies and data issues. Communication and Engagement. Effective two-way communication is key to surveillance, including with the authorities (to help staff’s advice get traction), the Executive Board (to support effective peer review), and the public and other stakeholders (to gain support for necessary policy adjustments). Surveillance messages need to be clear, concise, and focused. The Fund needs to be evenhanded, in line with the principle of uniformity of treatment, for surveillance to command the confidence of the membership. Process and formal requirements. A number of procedures, rules, and requirements are summarized in this note.
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„EXCHANGE MARKET PRESSURE INDEX AS A MACROECONOMIC RISK MEASURING INSTRUMENT“. ECONOMY AND SOCIOLOGY 2020 NO. 1, Nr. 1 (15.07.2020): 10–20. http://dx.doi.org/10.36004/nier.es.2020.1-01.
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The financial sector of the Republic of Moldova belongs to the developing ones and is characterized by a higher level of risk and, therefore, a higher likelihood of a systemic crisis. Globalization and development of advanced information technologies not only create great opportunities for rapid economic development, but also pose serious security threats to the economic development of states, especially in a developing economy. In these conditions, the issue of ensuring the financial stability of the state is becoming increasingly relevant. The state of the financial and foreign exchange market represents one of the most important aspects of the financial security of the state. This study has been developed as part of the scientific project 15.817.06.02A "Development of tools for measuring the financial stability of the state". The study analyzes various macrofinancial risk management tools. The purpose of this study was to calculate the pressure index on the foreign exchange market of both the Republic of Moldova and the main partner countries in terms of international trade. The results of related studies conducted by the authors of this work, which revealed that stability indicators in the foreign exchange market are associated with foreign trade risks served as an argument for the authors of the work to calculate the pressure index on the currency market of Romania and the Russian Federation for comparison with the indicators of the Republic of Moldova. Methods used in research include theoretical and comparative approaches, descriptive statistics and econometric models. The results of the research showed that international trade and the foreign exchange market are interdependent. The first can be considered a channel for transmitting the currency crisis, since demand increases with increasing imports, and this leads to increased pressure on the foreign exchange market. Increased exports reduce pressure on the foreign exchange market. But the greatest impact on the foreign exchange market in the Republic of Moldova is made by remittances from abroad, which are directly correlated with the dynamics of labor exports. At the same time, it was concluded that at present, due to macroprudential regulation, there are no linear dependencies in financial markets and, therefore, there are no correlations, but only the interdependence of variables.