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Policy uncertainty and bank stress testing

Author

Listed:
  • Paul H. Kupiec

    (American Enterprise Institute)

Abstract

This paper highlights the policy uncertainty inherent in using stress tests, both to set minimum bank capital requirements and to assess the capital adequacy needed to maintain banking system stability.

Suggested Citation

  • Paul H. Kupiec, 2019. "Policy uncertainty and bank stress testing," AEI Economics Working Papers 1022739, American Enterprise Institute.
    • Handle: RePEc:aei:rpaper:1022739
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    File URL: http://www.aei.org/publication/policy-uncertainty-bank-stress
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    References listed on IDEAS

    as
    1. Fernandez, Carmen & Ley, Eduardo & Steel, Mark F. J., 2001. "Benchmark priors for Bayesian model averaging," Journal of Econometrics, Elsevier, vol. 100(2), pages 381-427, February.
    2. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
    3. Meru Bhanot & Beverly Hirtle & Anna Kovner & James Vickery, 2014. "The CLASS Model: A Top-Down Assessment of the U.S. Banking System," Liberty Street Economics 20140604, Federal Reserve Bank of New York.
    4. Olivier Cappé & Christian P. Robert & Tobias Rydén, 2003. "Reversible jump, birth‐and‐death and more general continuous time Markov chain Monte Carlo samplers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 679-700, August.
    5. Marco Gross & Javier Población, 2019. "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 31-58, February.
    6. Jon Faust & Simon Gilchrist & Jonathan H. Wright & Egon Zakrajšsek, 2013. "Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach," The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1501-1519, December.
    7. Kupiec, Paul H., 2018. "On the accuracy of alternative approaches for calibrating bank stress test models," Journal of Financial Stability, Elsevier, vol. 38(C), pages 132-146.
    8. repec:dau:papers:123456789/6040 is not listed on IDEAS
    9. Jose Fique, 2017. "The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0," Technical Reports 111, Bank of Canada.
    10. Green, Kesten C. & Armstrong, J. Scott, 2015. "Simple versus complex forecasting: The evidence," Journal of Business Research, Elsevier, vol. 68(8), pages 1678-1685.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Avi Lichtig & Helene Mass, 2024. "Optimal Testing in Disclosure Games," CRC TR 224 Discussion Paper Series crctr224_2024_543, University of Bonn and University of Mannheim, Germany.
    2. repec:aei:rpaper:008586461 is not listed on IDEAS

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    More about this item

    Keywords

    Dodd-Frank Act; federal reserve; stress tests;
    All these keywords.

    JEL classification:

    • A - General Economics and Teaching

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