{ "title": "Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks", "publication": "IMF Working Papers, September 11, 2018", "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2018/09/11/macroprudential-stress-tests-and-policies-searching-for-robust-and-implementable-frameworks-46218", "canonical": "https://www.imf.org/en/publications/wp/issues/2018/09/11/macroprudential-stress-tests-and-policies-searching-for-robust-and-implementable-frameworks-46218", "overlayPath": "/en/publications/wp/issues/2018/09/11/macroprudential-stress-tests-and-policies-searching-for-robust-and-implementable-frameworks-46218/index.md", "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.", "sections": [ { "heading": "Summary and purpose", "content": "- Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world.\n- MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks.\n- The report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at:\n - (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges;\n - (ii) providing a roadmap for future-research; and\n - (iii) discussing the potential uses of MaPST to support policy." }, { "heading": "Key findings and analytic themes", "content": "- MaPSTs are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments.\n- The report addresses modeling and implementation-challenges in current MaPST approaches.\n- Emphasis on system-wide resilience: MaPSTs assess the financial system as a whole rather than individual institutions alone." }, { "heading": "Subjects and keywords (scope of analysis)", "content": "- 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.\n- 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." }, { "heading": "Publication and metadata", "content": "- Authors: Ron Anderson, Jon Danielsson, Chikako Baba, Udaibir S Das, Heedon Kang, Miguel A. Segoviano\n- Date: September 11, 2018\n- Pages: 79\n- Volume: 2018\n- Issue: 197\n- Series: Working Paper No. 2018/197\n- DOI: https://doi.org/10.5089/9781484375839.001\n- Stock No: WPIEA2018197\n- ISBN: 9781484375839\n- ISSN: 1018-5941" }, { "heading": "Intended contributions and uses for policy", "content": "- Support surveillance of macrofinancial vulnerabilities through quantitative, forward-looking assessments.\n- Inform the design and calibration of macroprudential policy-instruments, including Countercyclical capital buffers.\n- Provide a roadmap for future research to improve robustness and implementability of MaPST frameworks.\n\nIMF Working Paper: \"Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks\", IMF Working Papers 2018, 197 (2018).\n\n---\n\n Content in this bundle\n\n- wp18197\n - wp18197 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n - wp18197 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2018/09/11/macroprudential-stress-tests-and-policies-searching-for-robust-and-implementable-frameworks-46218" } ], "bullets": [ "[Markdown version](/en/publications/wp/issues/2018/09/11/macroprudential-stress-tests-and-policies-searching-for-robust-and-implementable-frameworks-46218/index.md)", "[Structured JSON version](/en/publications/wp/issues/2018/09/11/macroprudential-stress-tests-and-policies-searching-for-robust-and-implementable-frameworks-46218/index.json)", "[Bundle manifest](/en/publications/wp/issues/2018/09/11/macroprudential-stress-tests-and-policies-searching-for-robust-and-implementable-frameworks-46218/bundle-manifest.json)", "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", "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:", "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.", "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.", "Authors: Ron Anderson, Jon Danielsson, Chikako Baba, Udaibir S Das, Heedon Kang, Miguel A. 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