Macroprudential Policy Spillovers

Author : Mr.Heedon Kang,Francis Vitek,Ms.Rina Bhattacharya,Mr.Phakawa Jeasakul,Ms.Sònia Muñoz,Naixi Wang,Rasool Zandvakil
Publisher : International Monetary Fund
Page : 45 pages
File Size : 41,8 Mb
Release : 2017-07-24
Category : Business & Economics
ISBN : 9781484310991

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Macroprudential Policy Spillovers by Mr.Heedon Kang,Francis Vitek,Ms.Rina Bhattacharya,Mr.Phakawa Jeasakul,Ms.Sònia Muñoz,Naixi Wang,Rasool Zandvakil Pdf

This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. Event study and panel regression analyses find that liquidity and sectoral macroprudential policy measures often affect cross-border bank credit, whereas capital measures do not. This empirical evidence is stronger for tightening than for loosening measures, is distributed across credit leakage and reallocation effects, and is generally regionally concentrated. Consistently, structural model based simulation analysis indicates that output and bank credit spillovers from sectoral macroprudential policy shocks are generally small worldwide, but are regionally concentrated and economically significant for countries connected by strong trade or financial linkages. This simulation analysis also indicates that countercyclical capital buffer adjustments have the potential to generate sizeable regional spillovers.

Author : International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 64 pages
File Size : 43,8 Mb
Release : 2013-10-06
Category : Business & Economics
ISBN : 9781498341714

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Key Aspects of Macroprudential Policy - Background Paper by International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department Pdf

The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.

Author : Mr.Eugenio M Cerutti,Haonan Zhou
Publisher : International Monetary Fund
Page : 46 pages
File Size : 52,8 Mb
Release : 2018-10-01
Category : Business & Economics
ISBN : 9781484379189

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Cross-border Banking and the Circumvention of Macroprudential and Capital Control Measures by Mr.Eugenio M Cerutti,Haonan Zhou Pdf

We analyze the joint impact of macroprudential and capital control measures on cross-border banking flows, while controlling for multidimensional aspects in lender-and-borrower-relationships (e.g., distance, cultural proximity, microprudential regulations). We uncover interesting spillover effects from both types of measures when applied either by lender or borrowing countries, with many of them most likely associated with circumvention or arbitrage incentives. While lender countries’ macroprudential policies reduce direct cross-border banking outflows, they are associated with larger outflows through local affiliates. Direct cross-border inflows are higher in borrower countries with more usage of macroprudential policies, and are linked to circumvention motives. In the case of capital controls, most spillovers seem to be present through local affiliates. We do not find evidence to support the idea that additional capital inflow controls could interact with macro-prudential policies to mitigate cross-border spillovers.

Author : Ms.Aleksandra Zdzienicka,Ms.Sally Chen,Federico Diaz Kalan,Stefan Laseen,Katsiaryna Svirydzenka
Publisher : International Monetary Fund
Page : 29 pages
File Size : 46,7 Mb
Release : 2015-12-31
Category : Business & Economics
ISBN : 9781513519159

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Effects of Monetary and Macroprudential Policies on Financial Conditions by Ms.Aleksandra Zdzienicka,Ms.Sally Chen,Federico Diaz Kalan,Stefan Laseen,Katsiaryna Svirydzenka Pdf

The Global Financial Crisis has reopened discussions on the role of the monetary policy in preserving financial stability. Determining whether monetary policy affects financial variables domestically—especially compared to the effects of macroprudential policies— and across borders, is crucial in this context. This paper looks into these issues using U.S. exogenous monetary policy shocks and macroprudential policy measures. Estimates indicate that monetary policy shocks have significant and persistent effects on financial conditions and can attenuate long-term financial instability. In contrast, the impact of macroprudential policy measures is generally more immediate but shorter-lasting. Also, while an exogenous increase in U.S. monetary policy rates tends to reduce credit and house prices in other countries—with the effects varying with country-specific characteristics—an increase driven by improved U.S. economic conditions tends to have the opposite effect. Finally, we do not find evidence of cross-border spillover effects associated with U.S. macroprudential policies.

Author : Pierre-Richard Agenor
Publisher : MIT Press
Page : 601 pages
File Size : 49,6 Mb
Release : 2020-11-10
Category : Business & Economics
ISBN : 9780262359429

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Monetary Policy and Macroprudential Regulation with Financial Frictions by Pierre-Richard Agenor Pdf

An integrated analysis of how financial frictions can be accounted for in macroeconomic models built to study monetary policy and macroprudential regulation. Since the global financial crisis, there has been a renewed effort to emphasize financial frictions in designing closed- and open-economy macroeconomic models for monetary and macroprudential policy analysis. Drawing on the extensive literature of the past decade as well as his own contributions, in this book Pierre-Richard Age&́nor provides a unified set of theoretical and quantitative macroeconomic models with financial frictions to explore issues that have emerged in the wake of the crisis. These include the need to understand better how the financial system amplifies and propagates shocks originating elsewhere in the economy; how it can itself be a source of aggregate fluctuations; the extent to which central banks should account for financial stability considerations in the conduct of monetary policy; whether national central banks and regulators should coordinate their policies to promote macroeconomic and financial stability; and how much countercyclical macroprudential policies should be coordinated at the international level to mitigate financial spillovers across countries.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 85 pages
File Size : 42,8 Mb
Release : 2011-10-01
Category : Business & Economics
ISBN : 9781463922603

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Macroprudential Policy by International Monetary Fund Pdf

This paper provides the most comprehensive empirical study of the effectiveness of macroprudential instruments to date. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk over time and across institutions and markets. The analysis suggests that many of the most frequently used instruments are effective in reducing pro-cyclicality and the effectiveness is sensitive to the type of shock facing the financial sector. Based on these findings, the paper identifies conditions under which macroprudential policy is most likely to be effective, as well as conditions under which it may have little impact.

Author : Stephen Cecchetti,Mr. Machiko Narita,Umang Rawat,Ms. Ratna Sahay
Publisher : International Monetary Fund
Page : 37 pages
File Size : 50,9 Mb
Release : 2021-07-09
Category : Business & Economics
ISBN : 9781513584492

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Addressing Spillovers from Prolonged U.S. Monetary Policy Easing by Stephen Cecchetti,Mr. Machiko Narita,Umang Rawat,Ms. Ratna Sahay Pdf

There is growing recognition that prolonged monetary policy easing of major economies can have extraterritorial spillovers, driving up financial system leverage in other countries. When faced with such a rise of threats to financial stability, what can countries do? Specifically, is there a role for macroprudential tools, capital controls or foreign exchange intervention in safeguarding financial stability from risks arising externally? We examine the efficacy of these policy interventions by exploring whether preemptive or reactive policy interventions can mitigate such risks. Using a sample of 950 bank and nonbank financial firms across 28 non-U.S. economies over the past two decades, we show that if policymakers are able to implement policies prior to an additional consecutive decline in U.S. interest rates, financial institutions do not increase their leverage by as much as they otherwise would. By contrast, it is more difficult to counter the spillovers with reactive policy interventions. In practice, however, policymakers need to remain cautious about the timing of preventative tightening, especially when their economies face large negative shocks such as a pandemic.

Author : Pierre-Richard Agénor,Luiz A. Pereira da Silva
Publisher : Unknown
Page : 53 pages
File Size : 50,5 Mb
Release : 2018
Category : Electronic
ISBN : 9292591606

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Financial Spillovers, Spillbacks, and the Scope for International Macroprudential Policy Coordination by Pierre-Richard Agénor,Luiz A. Pereira da Silva Pdf

This paper discusses the scope for international macroprudential policy coordination in a financially integrated world economy. It first reviews the transmission channels associated with, and the empirical evidence on, financial spillovers and spillbacks - which have both increased in magnitude since the global financial crisis. Then it proceeds with evaluating the potential gains associated with cross-border macroprudential coordination, dwelling on both recent analytical contributions and quantitative studies based on multi-country models with financial market frictions. The particular case of currency unions is discussed, and so is the issue of whether coordination of macroprudential policies simultaneously requires some degree of monetary policy coordination. Much of this analysis focuses on the potential for countercyclical policy coordination between major advanced economies and a group identified as systemic middle-income countries (SMICs). Finally, the paper considers practical ways to promote international macroprudential policy coordination. Following a discussion of Basel III's principle of reciprocity and ways to improve it, the paper advocates a further strengthening of the current statistical, empirical and analytical work conducted by the Bank for International Settlements, the Financial Stability Board and the International Monetary Fund to evaluate and raise awareness of the gains from international coordination of macroprudential policies.

Author : Xavier Freixas,Luc Laeven,Jose-Luis Peydro
Publisher : MIT Press
Page : 487 pages
File Size : 46,6 Mb
Release : 2023-08-22
Category : Business & Economics
ISBN : 9780262549011

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Systemic Risk, Crises, and Macroprudential Regulation by Xavier Freixas,Luc Laeven,Jose-Luis Peydro Pdf

A framework for macroprudential regulation that defines systemic risk and macroprudential policy, describes macroprudential tools, and surveys the effectiveness of existing macroprudential regulation. The recent financial crisis has shattered all standard approaches to banking regulation. Regulators now recognize that banking regulation cannot be simply based on individual financial institutions' risks. Instead, systemic risk and macroprudential regulation have come to the forefront of the new regulatory paradigm. Yet our knowledge of these two core aspects of regulation is still limited and fragmented. This book offers a framework for understanding the reasons for the regulatory shift from a microprudential to a macroprudential approach to financial regulation. It defines systemic risk and macroprudential policy, cutting through the generalized confusion as to their meaning; contrasts macroprudential to microprudential approaches; discusses the interaction of macroprudential policy with macroeconomic policy (monetary policy in particular); and describes macroprudential tools and experiences with macroprudential regulation around the world. The book also considers the remaining challenges for establishing effective macroprudential policy and broader issues in regulatory reform. These include the optimal size and structure of the financial system, the multiplicity of regulatory bodies in the United States, the supervision of cross-border financial institutions, and the need for international cooperation on macroprudential policies.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 33 pages
File Size : 52,9 Mb
Release : 2011-03-14
Category : Business & Economics
ISBN : 9781498339179

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Macroprudential Policy - An Organizing Framework - Background Paper by International Monetary Fund. Monetary and Capital Markets Department Pdf

MCM conducted a survey in December 2010 to take stock of international experiences with financial stability and the evolving macroprudential policy framework. The survey was designed to seek information in three broad areas: the institutional setup for macroprudential policy, the analytical approach to systemic risk monitoring, and the macroprudential policy toolkit. The survey was sent to 63 countries and the European Central Bank (ECB), including all countries in the G-20 and those subject to mandatory Financial Sector Assessment Programs (FSAPs). The target list is designed to cover a broad range of jurisdictions in all regions, but more weight is given to economies that are systemically important (see Annex for details). The response rate is 80 percent. This note provides a summary of the survey’s main findings.

Author : International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Strategy, Policy, & Review Department,International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 62 pages
File Size : 42,8 Mb
Release : 2013-10-06
Category : Business & Economics
ISBN : 9781498341707

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Key Aspects of Macroprudential Policy by International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Strategy, Policy, & Review Department,International Monetary Fund. Monetary and Capital Markets Department Pdf

The crisis has underscored the costs of systemic instability at both the national and the global levels and highlighted the need for dedicated macroprudential policies to achieve financial stability. Building on recent advances, this paper provides a framework to inform the IMF’s country-specific advice on macroprudential policy. It recognizes that developing macroprudential policy is a work in progress, and addresses key issues to help ensure its effectiveness.

Author : Juliana Dutra Araujo,Manasa Patnam,Ms.Adina Popescu,Mr.Fabian Valencia,Weijia Yao
Publisher : International Monetary Fund
Page : 53 pages
File Size : 50,7 Mb
Release : 2020-05-22
Category : Business & Economics
ISBN : 9781513545400

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Effects of Macroprudential Policy: Evidence from Over 6,000 Estimates by Juliana Dutra Araujo,Manasa Patnam,Ms.Adina Popescu,Mr.Fabian Valencia,Weijia Yao Pdf

This paper builds a novel database on the effects of macroprudential policy drawing from 58 empirical studies, comprising over 6,000 results on a wide range of instruments and outcome variables. It encompasses information on statistical significance, standardized magnitudes, and other characteristics of the estimates. Using meta-analysis techniques, the paper estimates average effects to find i) statistically significant effects on credit, but with considerable heterogeneity across instruments; ii) weaker and more imprecise effects on house prices; iii) quantitatively stronger effects in emerging markets and among studies using micro-level data; and iii) statistically significant evidence of leakages and spillovers. Other findings include relatively stronger impacts for tightening than loosening actions and negative effects on economic activity in the near term.

Author : Mr.Stijn Claessens
Publisher : International Monetary Fund
Page : 38 pages
File Size : 49,6 Mb
Release : 2014-12-11
Category : Business & Economics
ISBN : 9781484358115

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An Overview of Macroprudential Policy Tools by Mr.Stijn Claessens Pdf

Macroprudential policies – caps on loan to value ratios, limits on credit growth and other balance sheets restrictions, (countercyclical) capital and reserve requirements and surcharges, and Pigouvian levies – have become part of the policy paradigm in emerging markets and advanced countries alike. But knowledge is still limited on these tools. Macroprudential policies ought to be motivated by market failures and externalities, but these can be hard to identify. They can also interact with various other policies, such as monetary and microprudential, raising coordination issues. Some countries, especially emerging markets, have used these tools and analyses suggest that some can reduce procyclicality and crisis risks. Yet, much remains to be studied, including tools’ costs ? by adversely affecting resource allocations; how to best adapt tools to country circumstances; and preferred institutional designs, including how to address political economy risks. As such, policy makers should move carefully in adopting tools.

Author : Corinne Deléchat,Lama Kiyasseh,Ms.Margaux MacDonald,Rui Xu
Publisher : International Monetary Fund
Page : 41 pages
File Size : 42,5 Mb
Release : 2020-05-29
Category : Business & Economics
ISBN : 9781513545677

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Drivers of Financial Access: the Role of Macroprudential Policies by Corinne Deléchat,Lama Kiyasseh,Ms.Margaux MacDonald,Rui Xu Pdf

This study analyzes the drivers of the use of formal vs. informal financial services in emerging and developing countries using the 2017 Global FINDEX data. In particular, we investigate whether individuals’ choice of financial services correlates with macro-financial and macro-structural policies and conditions, in addition to individual and country characteristics. We start our analysis on middle and low-income countries, and then zoom in on sub-Saharan Africa, currently the region that most relies on informal financial services, and which has the largest uptake of mobile banking. We find robust evidence of an association between macroprudential policies and individuals’ choice of financial access after controlling for personal and country-level characteristics. In particular, macroprudential policies aimed at controlling credit supply seem to be associated with greater resort to informal financial services compared with formal, bank-based access. This highlights the importance for central bankers and financial sector regulators to consider the potential spillovers of monetary policy and financial stability measures on financial inclusion.

Author : Pierre-Richard Agénor,Timothy P. Jackson,Luiz A. Pereira da Silva
Publisher : Unknown
Page : 128 pages
File Size : 50,5 Mb
Release : 2022
Category : Electronic
ISBN : OCLC:1304103284

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Cross-border Regulatory Spillovers and Macroprudential Policy Coordination by Pierre-Richard Agénor,Timothy P. Jackson,Luiz A. Pereira da Silva Pdf