Cover IMF Working Papers
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
Author:
Ron Andersonnull

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,
Jon Danielssonnull

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,
Chikako Baba
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Mr. Udaibir S Das
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Mr. Heedon Kang
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https://orcid.org/0000-0003-0743-9094
, and
Miguel A. Segoviano
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Series:
IMF Working Papers
Volume/Issue:
Volume 2018: Issue 197
Language:
English
Publication Date:
11 Sep 2018
DOI:
https://doi.org/10.5089/9781484375839.001
ISBN:
9781484375839
ISSN:
1018-5941
Pages:
79
Keywords:
WP; capital ratio; financial system; accounting data; central bank; fire sales; Macroprudential Stress testing; Macroprudential Policy; Systemic Risk; Financial Stability; classified loan; information asymmetry; subprime mortgage; negative equity; hurdle rate; bank portfolio redistribution; portfolio redistribution; inflation rate; credit market; Stress testing; Asset liquidity; Countercyclical capital buffers; Global; Europe
Legal-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.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2018: Issue 197