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

Author/Editor:

Ron Anderson ; Jon Danielsson ; Chikako Baba ; Udaibir S Das ; Heedon Kang ; Miguel A. Segoviano Basurto

Publication Date:

September 11, 2018

Electronic Access:

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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.

Series:

Working Paper No. 18/197

Subject:

English

Publication Date:

September 11, 2018

ISBN/ISSN:

9781484375839/1018-5941

Stock No:

WPIEA2018197

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

79

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