Micro Assessment Of Macroprudential Borrower Based Measures In Lithuania

Author : Mantas Dirma,Jaunius Karmelavičius
Publisher : International Monetary Fund
Page : 68 pages
File Size : 44,5 Mb
Release : 2023-10-27
Category : Business & Economics
ISBN : 9798400256578

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Micro-Assessment of Macroprudential Borrower-Based Measures in Lithuania by Mantas Dirma,Jaunius Karmelavičius Pdf

Despite having introduced borrower-based measures (BBM), Lithuania's housing and mortgage markets were booming during the low-interest-rate period, casting doubt on the macroprudential toolkit's ability to contain excessive mortgage growth. This paper assesses the adequacy of BBMs’ parametrization in Lithuania. We do so by building a novel lifetime expected credit loss framework that is founded on actual loan-level default and household income data. We show that the BBM package effectively contains mortgage credit risk and that housing loans are more resilient to stress than in the preregulatory era. Our BBM limit calibration exercise reveals that (1) in the low-rate environment, income-based measures could have been tighter; and (2) borrowers taking out secondary mortgages rightly are and should be required to pledge a higher down payment.

Author : Anonim
Publisher : International Monetary Fund
Page : 44 pages
File Size : 41,7 Mb
Release : 2024-06-29
Category : Electronic
ISBN : 9798400278785

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by Anonim Pdf

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 26 pages
File Size : 41,8 Mb
Release : 2024-01-19
Category : Business & Economics
ISBN : 9798400266430

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

The Maldives Monetary Authority (MMA) is the entity responsible for maintaining financial stability. The Board of the monetary authority has decision-making powers over MMA’s three mandates (in order of priority): maintain price stability, maintain financial stability, provide assistance to the government in attaining economic development and stability. To maintain financial stability, MMA regulates and supervises the financial institutions and oversees the payments and settlements system. It also houses a Credit Information Bureau (CIB), a key element for both micro and macroprudential supervision. The securities market, outside of the scope of MMA, is regulated by the Capital Market Development Authority (CMDA).

Author : Zohair Alam,Mr.Adrian Alter,Jesse Eiseman,Mr.R. G Gelos,Mr.Heedon Kang,Mr.Machiko Narita,Erlend Nier,Naixi Wang
Publisher : International Monetary Fund
Page : 57 pages
File Size : 54,5 Mb
Release : 2019-03-22
Category : Business & Economics
ISBN : 9781498302708

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Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database by Zohair Alam,Mr.Adrian Alter,Jesse Eiseman,Mr.R. G Gelos,Mr.Heedon Kang,Mr.Machiko Narita,Erlend Nier,Naixi Wang Pdf

This paper introduces a new comprehensive database of macroprudential policies, which combines information from various sources and covers 134 countries from January 1990 to December 2016. Using these data, we first confirm that loan-targeted instruments have a significant impact on household credit, and a milder, dampening effect on consumption. Next, we exploit novel numerical information on loan-to-value (LTV) limits using a propensity-score-based method to address endogeneity concerns. The results point to economically significant and nonlinear effects, with a declining impact for larger tightening measures. Moreover, the initial LTV level appears to matter; when LTV limits are already tight, the effects of additional tightening on credit is dampened while those on consumption are strengthened.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 35 pages
File Size : 49,5 Mb
Release : 2021-04-29
Category : Business & Economics
ISBN : 9781513573731

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Leakages from Macroprudential Regulations: The Case of Household-Specific Tools and Corporate Credit by International Monetary Fund Pdf

Sector-specific macroprudential regulations increase the riskiness of credit to other sectors. Using firm-level data, this paper computed the measures of the riskiness of corporate credit allocation for 29 advanced and emerging economies. Consistently across these measures, the paper finds that during credit expansions, an unexpected tightening of household-specific macroprudential tools is followed by a rise in riskier corporate lending. Quantitatively, such unexpected tightening during a period of rapid credit growth increases the riskiness of corporate credit by around 10 percent of the historical standard deviation. This result supports early policy interventions when credit vulnerabilities are still low, since sectoral leakages will be less important at this stage. Further evidence from bank lending standards surveys suggests that the leakage effects are stronger for larger firms compared to SMEs, consistent with recent evidence on the use of personal real estate as loan collateral by small firms.

Author : Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto
Publisher : International Monetary Fund
Page : 79 pages
File Size : 51,7 Mb
Release : 2018-09-11
Category : Business & Economics
ISBN : 9781484376386

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Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks by Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto Pdf

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.

Author : Erlend Nier,Radu Popa,Maral Shamloo,Liviu Voinea
Publisher : International Monetary Fund
Page : 45 pages
File Size : 52,9 Mb
Release : 2019-08-22
Category : Business & Economics
ISBN : 9781513509099

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Debt Service and Default: Calibrating Macroprudential Policy Using Micro Data by Erlend Nier,Radu Popa,Maral Shamloo,Liviu Voinea Pdf

We provide empirical evidence to support the calibration of a limit on household indebtedness levels, in the form of a cap on the debt-service-to-income (DSTI) ratio, in order to reduce the probability of borrower defaults in Romania. The analysis establishes two findings that are new to the literature. First, we show that the relationship between DSTI and probability of default is non-linear, with probability of default responding to increases in DSTI only after a certain threshold. Second, we establish that consumer loan defaults occur at lower levels of DSTI compared to mortgages. Our results support the recent regulation adopted by the National Bank of Romania, limiting the household DSTI at origination to 40 percent for new mortgages and consumer loans. Our counterfactual analysis indicates that had the limit been in place for all the loans in our sample, the probability of default (PD) would have been lower by 23 percent.

Author : El Bachir Boukherouaa,Mr. Ghiath Shabsigh,Khaled AlAjmi,Jose Deodoro,Aquiles Farias,Ebru S Iskender,Mr. Alin T Mirestean,Rangachary Ravikumar
Publisher : International Monetary Fund
Page : 35 pages
File Size : 40,5 Mb
Release : 2021-10-22
Category : Business & Economics
ISBN : 9781589063952

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Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by El Bachir Boukherouaa,Mr. Ghiath Shabsigh,Khaled AlAjmi,Jose Deodoro,Aquiles Farias,Ebru S Iskender,Mr. Alin T Mirestean,Rangachary Ravikumar Pdf

This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 65 pages
File Size : 47,7 Mb
Release : 2020-04-20
Category : Business & Economics
ISBN : 9781513541433

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

This paper presents Financial System Stability Assessment (FSSA) with the Republic of Korea. The Korean authorities have continued their efforts at upgrading the prudential, legal, and supervisory framework for the financial sector, and keeping up with international standards and practices in other G20 jurisdictions. The authorities have been strengthening the system with micro and macroprudential measures against vulnerabilities, strengthening the crisis management framework, and upgrading the prudential and legal framework. The FSSA suggests moving toward a more forward-looking monitoring and systemic risk identification mechanism. The reliability of various stress tests could be augmented with advanced methods, system-wide monitoring, and testing the overall leverage related to residential properties, households’ resilience to adverse shocks, and sovereign contingent liabilities. Stronger focus is required on systemic risks emanating from securities market activities that can amplify contagion, including sudden redemption and liquidity pressures in the funds and asset management industry.

Author : International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 64 pages
File Size : 54,8 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 : Statistical Office of the European Communities,International Labour Office,International Monetary Fund,Organization for Economic Co-operation and Development,United Nations,World Bank
Publisher : International Monetary Fund
Page : 186 pages
File Size : 47,9 Mb
Release : 2013-08-13
Category : Business & Economics
ISBN : 9781475588316

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Handbook on Residential Property Prices (RPPIs) by Statistical Office of the European Communities,International Labour Office,International Monetary Fund,Organization for Economic Co-operation and Development,United Nations,World Bank Pdf

For most citizens, buying a residential property (dwelling) is the most important transaction during their lifetime. Residential properties represent the most significant component of households’ expenses and, at the same time, their most valuable assets. The Residential Property Prices Indices (RPPIs) are index numbers measuring the rate at which the prices of residential properties are changing over time. RPPIs are key statistics not only for citizens and households across the world, but also for economic and monetary policy makers. Among their professional uses, they serve, for example, to monitor macroeconomic imbalances and risk exposure of the financial sector. This Handbook provides, for the first time, comprehensive guidelines for the compilation of RPPIs and explains in depth the methods and best practices used to calculate an RPPI. It also examines the underlying economic and statistical concepts and defines the principles guiding the methodological and practical choices for the compilation of the indices. The Handbook primarily addresses official statisticians in charge of producing residential property price indices; at the same time, it addresses the overall requirement on RPPIs by providing a harmonised methodological and practical framework to all parties interested in the compilation of such indices. The RPPIs Handbook has been written by leading academics in index number theory and by recognised experts in RPPIs compilation. Its development has been coordinated by Eurostat, the statistical office of the European Union, with the collaboration of the International Labour Organization (ILO), International Monetary Fund (IMF), Organisation for Economic Co-operation and Development (OECD), United Nations Economic Commission for Europe (UNECE) and the World Bank.

Author : Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos
Publisher : International Monetary Fund
Page : 73 pages
File Size : 46,8 Mb
Release : 2013-07-17
Category : Business & Economics
ISBN : 9781484335727

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Evaluating the Net Benefits of Macroprudential Policy by Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos Pdf

The paper proposes a simple, new, analytical framework for assessing the cost and benefits of macroprudential policies. It proposes a measure of net benefits in terms of parameters that can be estimated: the probability of crisis, the loss in output given crisis, policy effectiveness in bringing down both the probability and damage during crisis, and the output-cost of a policy decision. It discusses three types of policy leakages and identifies instruments that could best minimize the leakages. Some rules of thumb for policymakers are provided.

Author : M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara
Publisher : World Bank Publications
Page : 403 pages
File Size : 45,7 Mb
Release : 2021-03-03
Category : Business & Economics
ISBN : 9781464815454

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Global Waves of Debt by M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara Pdf

The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Author : Mr.Shekhar Aiyar,Mai Chi Dao,Mr.Andreas A. Jobst,Ms.Aiko Mineshima,Ms.Srobona Mitra,Mahmood Pradhan
Publisher : International Monetary Fund
Page : 114 pages
File Size : 45,9 Mb
Release : 2021-03-26
Category : Business & Economics
ISBN : 9781513572772

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COVID-19: How Will European Banks Fare? by Mr.Shekhar Aiyar,Mai Chi Dao,Mr.Andreas A. Jobst,Ms.Aiko Mineshima,Ms.Srobona Mitra,Mahmood Pradhan Pdf

This paper evaluates the impact of the crisis on European banks’ capital under a range of macroeconomic scenarios, using granular data on the size and riskiness of sectoral exposures. The analysis incorporates the important role of pandemic-related policy support, including not only regulatory relief for banks, but also policies to support businesses and households, which act to shield the financial sector from the real economic shock.

Author : Mr. Shekhar Aiyar,Mr. Dermot Monaghan
Publisher : International Monetary Fund
Page : 79 pages
File Size : 42,5 Mb
Release : 2015-09-24
Category : Business & Economics
ISBN : 9781513511658

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A Strategy for Resolving Europe's Problem Loans by Mr. Shekhar Aiyar,Mr. Dermot Monaghan Pdf

Europe’s banking system is weighed down by high levels of non-performing loans (NPLs), which are holding down credit growth and economic activity. This discussion note uses a new survey of European country authorities and banks to examine the structural obstacles that discourage banks from addressing their problem loans. A three pillared strategy is advocated to remedy the situation, comprising: (i) tightened supervisory policies, (ii) insolvency reforms, and (iii) the development of distressed debt markets.