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Macroprudential Stress-Testing Practices of Central Banks in Central and Southeastern Europe: Comparison and Challenges Ahead

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  • Martin Melecky
  • Anca Maria Podpiera

Abstract

This paper reviews and compares stress-testing practices of central banks in Central and Southeastern Europe (CSEECBs) and outlines challenges in the area of stress testing going forward. The authors, focusing their comparison on CSEECBs, construct the baseline and stress scenarios, map macroeconomic scenarios and microeconomic factors to risk factors, calculate risk exposures to different risk indicators, and estimate outcome indicators to inform macroprudential policy. The main challenges going forward concern data reliability, consideration of quantitative microprudential indicators, incorporation of feedback effects in stress tests, institutionalization of macroprudential policy responses to alarming stress-test results, and information exchange for better cross-border supervision.

Suggested Citation

  • Martin Melecky & Anca Maria Podpiera, 2012. "Macroprudential Stress-Testing Practices of Central Banks in Central and Southeastern Europe: Comparison and Challenges Ahead," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(4), pages 118-134, July.
    • Handle: RePEc:mes:emfitr:v:48:y:2012:i:4:p:118-134
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    Cited by:

    1. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    2. Aditya Anta Taruna & Cicilia Anggadewi Harun & Raquela Renanda Nattan, 2020. "Macroprudential Liquidity Stress Test: An Application to Indonesian Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 165-187.
    3. Shilvia Kurniawati & Deddy Priatmodjo Koesrindartoto, 2020. "Macroprudential Stress-Testing The Indonesian Banking System Using The Credit Risk Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(1), pages 121-138, April.

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