Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

By Ron Anderson, Jon Danielsson, Chikako Baba, Udaibir S Das, Heedon Kang, Miguel A. Segoviano

September 11, 2018

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Ron Anderson, Jon Danielsson, Chikako Baba, Udaibir S Das, Heedon Kang, and Miguel A. Segoviano Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks, (USA: International Monetary Fund, 2018) accessed September 18, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

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.

Subject: Asset and liability management, Asset liquidity, Banking, Countercyclical capital buffers, Financial regulation and supervision, Financial sector policy and analysis, Macroprudential stress testing, Stress testing, Systemic risk

Keywords: Accounting data, Asset liquidity, Bank portfolio redistribution, Capital ratio, Central bank, Classified loan, Countercyclical capital buffers, Credit market, Europe, Financial Stability, Financial system, Fire sales, Global, Hurdle rate, Inflation rate, Information asymmetry, Macroprudential Policy, Macroprudential Stress testing, Negative equity, Portfolio redistribution, Stress testing, Subprime mortgage, Systemic Risk, WP

Publication Details

Pages:

79
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2018/197
Stock No:

WPIEA2018197
ISBN:

9781484375839
ISSN:

1018-5941

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