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Macroprudential policy and financial system stability: an aggregate study

Author

Listed:
  • Hamdi Jbir

    (University of Poitiers)

  • Cornel Oros

    (University of Poitiers
    University of Orléans)

  • Alexandra Popescu

    (University of Poitiers)

Abstract

This paper investigates the impact of macroprudential policy announcements on financial stability in Europe. Our three financial (in)stability proxies are systemic risk measures that cover all types of financial institutions and consider various financial market segments. We find that the announcements of macroprudential policy actions only contain banking systemic risk with the latter computed based on market data. However, when measuring systemic risk by including both market and balance sheet data, we observe an increase in the systemic risk of all financial institutions, banks and non-banks. This last result is confirmed when considering non-diversifiable risk across financial market segments.

Suggested Citation

  • Hamdi Jbir & Cornel Oros & Alexandra Popescu, 2024. "Macroprudential policy and financial system stability: an aggregate study," Empirical Economics, Springer, vol. 66(5), pages 1941-1973, May.
    • Handle: RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02524-5
    DOI: 10.1007/s00181-023-02524-5
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    Cited by:

    1. Shiying Xu & Fuqiang Yang & Qian Yang & Binbin Chang & Kun Wang, 2024. "Drinking Poison to Quench Thirst: Local Government Land Financial Dependence and Urban Innovation Quality," Land, MDPI, vol. 13(4), pages 1-16, April.

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