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Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

Author

Listed:
  • Andreas Jobst
  • Ms. Li L Ong
  • Mr. Christian Schmieder

Abstract

Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify, model and assess the impact of liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not only by data limitations but also by interactions among multiple factors. This paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.

Suggested Citation

  • Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2017. "Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems," IMF Working Papers 2017/102, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2017/102
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    Citations

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    Cited by:

    1. Mr. Fei Han & Mindaugas Leika, 2019. "Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models," IMF Working Papers 2019/250, International Monetary Fund.
    2. Andreas Jobst & Ms. Hiroko Oura, 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing," IMF Working Papers 2019/266, International Monetary Fund.
    3. Edoardo Gaffeo & Lucio Gobbi & Massimo Molinari, 2019. "Liquidity contagion with a “first-in/first-out†seniority of claims," Economics Bulletin, AccessEcon, vol. 39(4), pages 2572-2579.
    4. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
    5. Nikolaos Georgiopoulos & Carnell Lambert, 2020. "Macroprudential liquidity stress tests using BIS locational banking statistics," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Bridging measurement challenges and analytical needs of external statistics: evolution or revolution?, volume 52, Bank for International Settlements.
    6. Valentina Macchiati & Giuseppe Brandi & Tiziana Di Matteo & Daniela Paolotti & Guido Caldarelli & Giulio Cimini, 2022. "Systemic liquidity contagion in the European interbank market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 443-474, April.
    7. 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.

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