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Exchange Rates and Domestic Credit-Can Macroprudential Policy Reduce the Link?

Exchange Rates and Domestic Credit-Can Macroprudential Policy Reduce the Link? »

Volume/Issue: 2020/187

Series: IMF Working Papers

Author(s): Erlend Nier , Thordur Olafsson , and Yuan Gao Rollinson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2020

DOI: http://dx.doi.org/10.5089/9781513556550.001

ISBN: 9781513556550

Keywords: Macroprudential Policies, Capital Flows, Systemic Risk

This paper examines empirically the role of macroprudential policy in addressing the effects of external shocks on financial stability. In a sample of 62 economies over the period of 2000: Q1-2016: Q4, our dynamic...

Stress Testing and Calibration of Macroprudential Policy Tools

Stress Testing and Calibration of Macroprudential Policy Tools »

Volume/Issue: 2020/165

Series: IMF Working Papers

Author(s): Lucyna Gornicka , and Laura Valderrama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 August 2020

DOI: http://dx.doi.org/10.5089/9781513554471.001

ISBN: 9781513554471

Keywords: stress testing, systemic risk, mortgage risk, calibration, simulation, macroprudential policy

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses fo...

Republic of Poland
			: Technical Assistance Report-Macroprudential Framework

Republic of Poland : Technical Assistance Report-Macroprudential Framework »

Volume/Issue: 2012/276

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 September 2012

DOI: http://dx.doi.org/10.5089/9781475510713.002

ISBN: 9781475510713

Keywords: systemic risk, credit, reserve requirements, payment systems, banking supervision

This paper on the Republic of Poland was prepared by a staff team of the International Monetary Fund as background documentation for the periodic consultation with the member country. It is based on the information...

Brazil
			: Technical Note on Macroprudential Policy Framework

Brazil : Technical Note on Macroprudential Policy Framework »

Volume/Issue: 2013/148

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Western Hemisphere Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 June 2013

DOI: http://dx.doi.org/10.5089/9781484375624.002

ISBN: 9781484375624

Keywords: financial system, reserve requirements, financial institutions, systemic risk

In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discuss...

Switzerland
			: Technical Note-Systemic Risk and Contagion Analysis

Switzerland : Technical Note-Systemic Risk and Contagion Analysis »

Volume/Issue: 2014/268

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 September 2014

DOI: http://dx.doi.org/10.5089/9781498353922.002

ISBN: 9781498353922

Keywords: contagion, financial institutions, systemic risk, financial stability, financial system

...

Systemic Financial Risk in Payment Systems

Systemic Financial Risk in Payment Systems »

Volume/Issue: 1990/65

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 1990

DOI: http://dx.doi.org/10.5089/9781451962437.001

ISBN: 9781451962437

Keywords: payments, credit, payment system, payment systems, banking, Systemic Financial Risk,

Efficient and stable payments systems are of fundamental importance in maintaining an orderly international monetary system. Major disruptions of national and international payments systems would have highly advers...

Systemic Risk and Asymmetric Responses in the Financial Industry

Systemic Risk and Asymmetric Responses in the Financial Industry »

Volume/Issue: 2012/152

Series: IMF Working Papers

Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

DOI: http://dx.doi.org/10.5089/9781475504347.001

ISBN: 9781475504347

Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called Co...

External Linkages and Contagion Risk in Irish Banks

External Linkages and Contagion Risk in Irish Banks »

Volume/Issue: 2007/44

Series: IMF Working Papers

Author(s): Srobona Mitra , and Elena Duggar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2007

DOI: http://dx.doi.org/10.5089/9781451866087.001

ISBN: 9781451866087

Keywords: Contagion risk, Distance to default, contagion, systemic risk, banking system, interbank market, Model Construction and Estimation,

The large and growing international linkages of big Irish banks expose them to idiosyncratic shocks arising in other countries. We analyze international interdependencies of Irish banks-during both normal times and...

Bank Risk Within and Across Equilibria

Bank Risk Within and Across Equilibria »

Volume/Issue: 2014/116

Series: IMF Working Papers

Author(s): Itai Agur

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 July 2014

DOI: http://dx.doi.org/10.5089/9781498306515.001

ISBN: 9781498306515

Keywords: Bank risk, Wholesale funding, Adverse selection, Multiple equilibria, banking, systemic risk, bank exposures, bank funding,

The global financial crisis highlighted that the financial system can be most vulnerable when it seems most stable. This paper models non-linear dynamics in banking. Small shocks can lead from an equilibrium with f...

Romania
			: Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing the Financial Sector

Romania : Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing the Financial Sector »

Volume/Issue: 2018/163

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 June 2018

DOI: http://dx.doi.org/10.5089/9781484360729.002

ISBN: 9781484360729

Keywords: Financial Sector Assessment Program, Stress testing, Systemic risk assessment, Banking sector, Credit risk, Market risk, Liquidity, Financial contagion

This Technical Note discusses the results of systemic risk analysis and stress testing of Romania's financial sector. Although the Romanian banking sector has a strong initial capital position, banks are affected s...