Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
IMF Working Papers, September 11, 2018
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Bibliographic details
- Authors: Ron Anderson, Jon Danielsson, Chikako Baba, Udaibir S Das, Heedon Kang, Miguel A. Segoviano
- Published: September 11, 2018
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484375839.001
Summary and purpose
- 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.
- The 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.
Key findings and analytic themes
- MaPSTs are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments.
- The report addresses modeling and implementation-challenges in current MaPST approaches.
- Emphasis on system-wide resilience: MaPSTs assess the financial system as a whole rather than individual institutions alone.
Subjects and keywords (scope of analysis)
- 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 include: 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 and metadata
- Authors: Ron Anderson, Jon Danielsson, Chikako Baba, Udaibir S Das, Heedon Kang, Miguel A. Segoviano
- Date: September 11, 2018
- Pages: 79
- Volume: 2018
- Issue: 197
- Series: Working Paper No. 2018/197
- DOI: https://doi.org/10.5089/9781484375839.001
- Stock No: WPIEA2018197
- ISBN: 9781484375839
- ISSN: 1018-5941
Intended contributions and uses for policy
- Support surveillance of macrofinancial vulnerabilities through quantitative, forward-looking assessments.
- Inform the design and calibration of macroprudential policy-instruments, including Countercyclical capital buffers.
- Provide a roadmap for future research to improve robustness and implementability of MaPST frameworks.
IMF Working Paper: "Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks", IMF Working Papers 2018, 197 (2018).