Nėra lietuvių kalba
Valerio Scalone
- 1 August 2024
- WORKING PAPER SERIES - No. 2966Details
- Abstract
- In this paper, we propose a new framework to jointly calibrate cyclical and structural capital requirements. For this, we integrate a non-linear macroeconomic model and a stress test model. In the macroeconomic model, the severity of the scenarios depends on the level of cyclical risk. Risk-related scenarios are used as inputs for the stress test model. Banks’ capital losses derived from a scenario based on a reference level of risk are used to set the structural requirement. Additional losses associated with the current risk scenario are used to set the cyclical requirement. This approach provides a transparent method to strike the balance between cyclical and structural requirements.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E51 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Money Supply, Credit, Money Multipliers
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
G01 : Financial Economics→General→Financial Crises
- 20 June 2024
- MACROPRUDENTIAL BULLETIN - ARTICLE - No. 24Details
- Abstract
- This article explores the benefits of a positive neutral rate for the countercyclical capital buffer (CCyB) and the conditions shaping the economic costs of its activation in a general equilibrium framework. The analysis shows that a gradual build-up of the buffer and favourable banking sector conditions (e.g. high profitability) limit these economic costs. Furthermore, a positive neutral CCyB rate ensures banking sector resilience in all phases of the financial cycle and improves macroprudential authorities’ ability to provide relief to the banking sector in the event of (potentially large) shocks, including those unrelated to the materialisation of domestic credit imbalances.
- JEL Code
- C68 : Mathematical and Quantitative Methods→Mathematical Methods, Programming Models, Mathematical and Simulation Modeling→Computable General Equilibrium Models
E61 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Policy Objectives, Policy Designs and Consistency, Policy Coordination
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation