Credit Intermediation And The Transmission Of Macrofinancial Uncertainty

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Credit Intermediation and the Transmission of Macrofinancial Uncertainty

Martin Gächter,Martin Geiger,Sebastian Stöckl
Credit Intermediation and the Transmission of Macrofinancial Uncertainty Book PDF

Author : Martin Gächter,Martin Geiger,Sebastian Stöckl
Publisher : Unknown
Page : 128 pages
File Size : 53,9 Mb
Release : 2019
Category : Electronic
ISBN : OCLC:1162838848

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Credit Intermediation and the Transmission of Macrofinancial Uncertainty by Martin Gächter,Martin Geiger,Sebastian Stöckl Pdf

We examine the transmission of global macro-financial uncertainty to economic activity depending on the current state of the banking sector. Previous literature suggests that credit supply and uncertainty shocks are important drivers of economic activity, but the distinction between the two is empirically challenging. In this paper, we introduce a new, but surprisingly simple measure of macro-financial uncertainty at the global level while the state of credit intermediation is being captured on the country level. Macro-financial uncertainty generally exerts adverse effects on economic growth in a sample of advanced economies. We find, however, that a shock to uncertainty is strongly reinforced when credit intermediation is distressed. In addition, we show that both macroeconomic and financial market uncertainty are associated with lower economic activity, although the latter exerts stronger effects. State-dependency of the effects is prevalent in both cases. Our findings have important policy implications, highlighting both the state of the banking sector as well as the origin of uncertainty as crucial factors in the transmission of uncertainty.

Global Financial Stability Report, October 2015

International Monetary Fund. Monetary and Capital Markets Department
Global Financial Stability Report October 2015 Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 131 pages
File Size : 55,9 Mb
Release : 2015-10-07
Category : Business & Economics
ISBN : 9781513582047

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Global Financial Stability Report, October 2015 by International Monetary Fund. Monetary and Capital Markets Department Pdf

The October 2015 Global Financial Stability Report finds that, despite an improvement in financial stability in advanced economies, risks continue to rotate toward emerging markets. The global financial outlook is clouded by a triad of policy challenges: emerging market vulnerabilities, legacy issues from the crisis in advanced economies, and weak systemic market liquidity. With more vulnerable balance sheets in emerging market companies and banks, firms in these countries are more susceptible to financial stress, economic downturn, and capital outflows. Recent market developments such as slumping commodity prices, China’s bursting equity bubble, and pressure on exchange rates underscore these challenges. The prospect of the U.S. Federal Reserve gradually raising interest rates points to an unprecedented adjustment in the global financial system as financial conditions and risk premiums “normalize” from historically low levels alongside rising policy rates and a modest cyclical recovery. The report also examines the factors that influence levels of liquidity in securities markets, as well as the implications of low liquidity. Currently, market liquidity is being supported by benign cyclical conditions. Although it is too early to assess the impact of recent regulatory changes on market liquidity, changes in market structure, such as larger holdings of corporate bonds by mutual funds, appear to have increased the fragility of liquidity. Finally, the report studies the growing level of corporate debt in emerging markets, which quadrupled between 2004 and 2014. The report finds that global drivers have played an increasing role in leverage growth, issuance, and spreads. Moreover, higher leverage has been associated with, on average, rising foreign currency exposures. It also finds that despite weaker balance sheets, firms have managed to issue bonds at better terms as a result of favorable financial conditions.

Macrofinancial Analysis in the World Economy

Francis Vitek
Macrofinancial Analysis in the World Economy Book PDF

Author : Francis Vitek
Publisher : International Monetary Fund
Page : 112 pages
File Size : 41,5 Mb
Release : 2015-10-28
Category : Business & Economics
ISBN : 9781513537429

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Macrofinancial Analysis in the World Economy by Francis Vitek Pdf

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Cross-Border Credit Intermediation and Domestic Liquidity Provision in a Small Open Economy

Thorvardur T. Olafsson
Cross Border Credit Intermediation and Domestic Liquidity Provision in a Small Open Economy Book PDF

Author : Thorvardur T. Olafsson
Publisher : International Monetary Fund
Page : 50 pages
File Size : 44,8 Mb
Release : 2018-09-11
Category : Business & Economics
ISBN : 9781484373354

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Cross-Border Credit Intermediation and Domestic Liquidity Provision in a Small Open Economy by Thorvardur T. Olafsson Pdf

This paper develops a small open economy model where global and domestic liquidity is intermediated to the corporate sector through two financial processes. Investment banks intermediate cross-border credit through interlinked debt contracts to entrepreneurs and commercial banks intermediate domestic savings to liquidity constrained final good producers. Both processes are needed to facilitate development of key production inputs. The model captures procyclical investment bank leverage dynamics, global liquidity spillovers, domestic money market pressures, and macrofinancial linkages through which shocks propagate across the two processes, affecting spreads and balance sheets, as well as the real economy through investment and working capital channels.

Republic of Poland

International Monetary Fund. Monetary and Capital Markets Department
Republic of Poland Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 78 pages
File Size : 52,7 Mb
Release : 2019-05-09
Category : Business & Economics
ISBN : 9781498313162

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Republic of Poland by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Technical Note on Stress Testing and Systemic Risk Analysis for the Republic of Poland discusses that Poland’s financial system is dominated by the banking sector, with significant state participation and foreign ownership. The banking system shows resiliency to adverse shocks in the aggregate, however, some other systemically important institutions (OSIIs) show weakness. While the adverse retail event had a limited impact, the wholesale event affected some large banks in the system. Interbank analyses showed that any destabilization to affiliating banks could cause severe distress to the affiliated cooperative banks. This finding strengthens the reasons for the authorities to address identified weaknesses in the affiliating banks. Moreover, banks large holdings of sovereign bonds and the substantial presence of state-controlled banks cause a significant sovereign-bank nexus in Poland. In order to avoid incentives for banks to hold sovereign debt, the Financial Sector Assessment Program team recommends that the Financial Institution Asset Tax is redesigned on grounds of both financial stability and efficiency.

Belgium

International Monetary Fund. Monetary and Capital Markets Department
Belgium Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 48 pages
File Size : 50,6 Mb
Release : 2023-12-08
Category : Business & Economics
ISBN : 9798400262340

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Belgium by International Monetary Fund. Monetary and Capital Markets Department Pdf

Despite a series of shocks in the recent past, the Belgian financial sector has remained resilient and firm evidence for sustained credit or real estate price booms is limited. The profitability, capital adequacy and liquidity of banks have surpassed their pre-pandemic levels, remaining comfortably above regulatory thresholds. Notwithstanding the blows to the economy inflicted by the pandemic, spillovers from Russia’s war in Ukraine, and the energy crisis, bankruptcies have not materialized, and the quality of loan portfolios has stayed strong as automatic wage indexation and government support have helped households and firms. The credit gap turning positive in late 2017 did not herald the beginning of a prolonged period of further widening, with private sector borrowing expanding at a robust pace until the rapid tightening of financial conditions since 2022 triggered an ebbing of lending growth. Prices for residential and commercial dwellings have steadily increased since 2014, yet market dynamism over this period has been generally below developments seen in other euro area countries, keeping valuations in check.

Global Financial Stability Report, October 2016

International Monetary Fund. Monetary and Capital Markets Department
Global Financial Stability Report October 2016 Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 132 pages
File Size : 50,6 Mb
Release : 2016-10-05
Category : Business & Economics
ISBN : 9781513559582

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Global Financial Stability Report, October 2016 by International Monetary Fund. Monetary and Capital Markets Department Pdf

The current report finds that short-term risks to global financial stability have abated since April 2016, but that medium-term risks continue to build. Financial institutions in advanced economies face a number of cyclical and structural challenges and need to adapt to low growth and low interest rates, as well as to an evolving market and regulatory environment. Weak profitability could erode banks’ buffers over time and undermine their ability to support growth. A cyclical recovery will not resolve the problem of low profitability. More deep-rooted reforms and systemic management are needed, especially for European banks. The solvency of many life insurance companies and pension funds is threatened by a prolonged period of low interest rates. Corporate leverage in emerging market economies remains elevated in some countries, but the current favorable external environment presents an opportunity for overly indebted firms to restructure their balance sheets. The political climate is unsettled in many countries. A lack of income growth and a rise in inequality have opened the door for populist, inward-looking policies. These factors make it even harder to tackle legacy problems and further expose economies and markets to shocks. A potent and more balanced policy mix is needed to deliver a stronger path for growth and financial stability, and avoid slipping into a state of financial and economic stagnation. The report also examines how the rise of nonbank financing has altered the impact of monetary policy and finds that fears of a decline in the effectiveness of monetary policy are unfounded. It appears that the transmission of monetary policy is, if anything, stronger in economies with larger nonbank financial sectors. Finally, the report examines the link between corporate governance, investor protection, and financial stability in emerging market economies. It finds that the improvements over the past two decades have helped bolster the resilience of their financial systems. These benefits strengthen the case for further reform.

Modeling with Macro-Financial Linkages

Ms.Inci Ötker,Mr.Jaromir Benes,David Vávra
Modeling with Macro Financial Linkages Book PDF

Author : Ms.Inci Ötker,Mr.Jaromir Benes,David Vávra
Publisher : International Monetary Fund
Page : 36 pages
File Size : 48,8 Mb
Release : 2009-06-01
Category : Business & Economics
ISBN : 9781451872705

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Modeling with Macro-Financial Linkages by Ms.Inci Ötker,Mr.Jaromir Benes,David Vávra Pdf

This paper develops a stylized, small, open economy macro model that incorporates an explicit and non-trivial role for financial intermediation. It illustrates how such a model could be used for policy analysis in an emerging market economy where policymakers are concerned about risks associated with rapid credit growth, financial dollarization, and foreign borrowing, while lacking traditional tools to effect monetary policy transmission, and hence could resort to more direct instruments, such as foreign exchange market intervention and regulatory and administrative measures. Calibrating the model to a stylized emerging European economy, the paper simulates real and financial sector implications of various external and policy-related shocks that could be used as input for monetary policy making.

United Kingdom

International Monetary Fund. European Dept.
United Kingdom Book PDF

Author : International Monetary Fund. European Dept.
Publisher : International Monetary Fund
Page : 65 pages
File Size : 47,7 Mb
Release : 2016-06-16
Category : Business & Economics
ISBN : 9781475560404

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United Kingdom by International Monetary Fund. European Dept. Pdf

This paper aims to provide European Union (EU), while recognizing that the choice of whether to remain in the EU is for U.K. voters to make and that their decisions will reflect both economic and noneconomic factors. The question of EU membership is both a political and an economic issue, and the referendum has sparked a wide-ranging debate on the United Kingdom’s role in the EU. Given the range of plausible alternative arrangements with the EU, the number of channels by which countries could be affected and the range of possible effects on the United Kingdom and other economies are broad.

Policy, Risk and Spillover Analysis in the World Economy

Francis Vitek
Policy Risk and Spillover Analysis in the World Economy Book PDF

Author : Francis Vitek
Publisher : International Monetary Fund
Page : 122 pages
File Size : 50,9 Mb
Release : 2017-04-04
Category : Business & Economics
ISBN : 9781475592757

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Policy, Risk and Spillover Analysis in the World Economy by Francis Vitek Pdf

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. These macrofinancial linkages encompass bank and capital market based financial intermediation, with financial accelerator mechanisms linked to the values of the housing and physical capital stocks. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Financial Crises Explanations, Types, and Implications

Mr.Stijn Claessens,Mr.Ayhan Kose
Financial Crises Explanations Types and Implications Book PDF

Author : Mr.Stijn Claessens,Mr.Ayhan Kose
Publisher : International Monetary Fund
Page : 66 pages
File Size : 41,8 Mb
Release : 2013-01-30
Category : Business & Economics
ISBN : 9781475561005

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Financial Crises Explanations, Types, and Implications by Mr.Stijn Claessens,Mr.Ayhan Kose Pdf

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.

Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies

Mrs. Mwanza Nkusu
Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies Book PDF

Author : Mrs. Mwanza Nkusu
Publisher : International Monetary Fund
Page : 30 pages
File Size : 49,6 Mb
Release : 2011-07-01
Category : Business & Economics
ISBN : 9781462356683

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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies by Mrs. Mwanza Nkusu Pdf

We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we investigate the feedback between NPL and its macroeconomic determinants in a panel vector autoregressive (PVAR) model. The impulse response functions (IRFs) attribute to NPL a central role in the linkages between credit market frictions and macrofinancial vulnerability. They suggest that a sharp increase in NPL triggers long-lived tailwinds that cripple macroeconomic performance from several fronts.

Canada

International Monetary Fund. Monetary and Capital Markets Department
Canada Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 85 pages
File Size : 52,9 Mb
Release : 2019-06-24
Category : Business & Economics
ISBN : 9781498321112

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Canada by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Financial System Stability Assessment paper discusses that Canada has enjoyed favorable macroeconomic outcomes over the past decades, and its vibrant financial system continues to grow robustly. However, macrofinancial vulnerabilities—notably, elevated household debt and housing market imbalances—remain substantial, posing financial stability concerns. Various parts of the financial system are directly exposed to the housing market and/or linked through housing finance. The financial system would be able to manage severe macrofinancial shocks. Major deposit-taking institutions would remain resilient, but mortgage insurers would need additional capital in a severe adverse scenario. Housing finance is broadly resilient, notwithstanding some weaknesses in the small non-prime mortgage lending segment. Although banks’ overall capital buffers are adequate, additional required capital for mortgage exposures, along with measures to increase risk-based differentiation in mortgage pricing, would be desirable. This would help ensure adequate through-the cycle buffers, improve mortgage risk-pricing, and limit procyclical effects induced by housing market corrections.

Macro-Financial Linkages in Shallow Markets

International Monetary Fund. African Dept.
Macro Financial Linkages in Shallow Markets Book PDF

Author : International Monetary Fund. African Dept.
Publisher : International Monetary Fund
Page : 53 pages
File Size : 48,6 Mb
Release : 2018-07-23
Category : Business & Economics
ISBN : 9781484361498

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Macro-Financial Linkages in Shallow Markets by International Monetary Fund. African Dept. Pdf

This paper assesses and disseminates experiences and lessons from low-income countries (LICs) in Sub-Saharan Africa that were selected by the Africa Department in 2015-16 as pilots for enhanced analysis of macro-financial linkages in Article IV staff reports. The paper focuses on the common characteristics across the pilot countries and highlights the tools used in the analysis, the challenges encountered, and the solutions deployed in overcoming them.

Stress Testing at the IMF

Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Stress Testing at the IMF Book PDF

Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Publisher : International Monetary Fund
Page : 73 pages
File Size : 54,7 Mb
Release : 2020-02-05
Category : Business & Economics
ISBN : 9781513520742

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Stress Testing at the IMF by Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher Pdf

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.