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Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia

Author

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  • Tihana Škrinjarić

    (Bank of England, United Kingdom)

Abstract

This paper contributes to the literature on macroprudential stance assessment in two ways. Firstly, it gives a comprehensive review of related literature to see the current directions research and policy practice, alongside the problems. Secondly, it empirically evaluates different aspects and issues when assessing the macroprudential stance. The empirical part of the paper focuses on country that has a fairly active macroprudential policy to establish the initial framework for assessing the effectiveness of macroprudential policy in Croatia. Results show that somewhat different results could be obtained based on variable definition and selection. This means that measuring macroprudential stance is difficult, as it depends on the definition of the macroprudential policy variable, selection of other important variables in the analysis, as well as other methodological factors.

Suggested Citation

  • Tihana Škrinjarić, 2023. "Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia," Working Papers 72, The Croatian National Bank, Croatia.
    • Handle: RePEc:hnb:wpaper:72
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    References listed on IDEAS

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    More about this item

    Keywords

    systemic risk; macroprudential policy; financial stability; financial conditions; quantile regression; policy assessment; macroprudential stance; Q-VAR; growth at risk;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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