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Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Author

Listed:
  • Ron Anderson
  • Jon Danielsson
  • Chikako Baba
  • Mr. Udaibir S Das
  • Mr. Heedon Kang
  • Miguel A. Segoviano

Abstract

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.

Suggested Citation

  • Ron Anderson & Jon Danielsson & Chikako Baba & Mr. Udaibir S Das & Mr. Heedon Kang & Miguel A. Segoviano, 2018. "Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks," IMF Working Papers 2018/197, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2018/197
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    Citations

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    Cited by:

    1. Farmer, J Doyne & Kleinnijenhuis, Alissa M & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," Bank of England working papers 861, Bank of England.
    2. Ros, Greg, 2020. "The making of a cyber crash: a conceptual model for systemic risk in the financial sector," ESRB Occasional Paper Series 16, European Systemic Risk Board.
    3. Fiedor, Pawel & Katsoulis, Petros, 2019. "An Lonn Dubh: A Framework for Macroprudential Stress Testing of Investment Funds," Financial Stability Notes 2/FS/19, Central Bank of Ireland.
    4. Ragnar Nymoen & Kari Pedersen & Jon Ivar Sjåberg, 2019. "Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies," IJFS, MDPI, vol. 7(2), pages 1-20, May.
    5. Seabrook, Isobel & Caccioli, Fabio & Aste, Tomaso, 2022. "Quantifying impact and response in markets using information filtering networks," LSE Research Online Documents on Economics 115308, London School of Economics and Political Science, LSE Library.
    6. Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023. "Scenario-free analysis of financial stability with interacting contagion channels," Journal of Banking & Finance, Elsevier, vol. 146(C).
    7. Mercy Berman DeMenno, 2023. "Environmental sustainability and financial stability: can macroprudential stress testing measure and mitigate climate-related systemic financial risk?," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(4), pages 445-473, December.
    8. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
    9. Cecchetti, Stephen & Berner, Richard & Schoenholtz, Kermit L., 2019. "Stress Testing Networks: The Case of Central Counterparties," CEPR Discussion Papers 13604, C.E.P.R. Discussion Papers.
    10. Isobel Seabrook & Fabio Caccioli & Tomaso Aste, 2021. "An Information Filtering approach to stress testing: an application to FTSE markets," Papers 2106.08778, arXiv.org.
    11. Maarten R.C. Van Oordt, 2023. "Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market‐Based Stress Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 465-501, March.
    12. Lo Duca, Marco & Hallissey, Niamh & Jurca, Pavol & Kouratzoglou, Charalampos & Lima, Diana & Pirovano, Mara & Prapiestis, Algirdas & Saldías, Martín & Tereanu, Eugen & Bartal, Mehdi & Giedraitė, Edita, 2023. "The more the merrier? Macroprudential instrument interactions and effective policy implementation," Occasional Paper Series 310, European Central Bank.
    13. Abdulrahman Alrabiah & Steve Drew, 2020. "Proactive Management of Regulatory Policy Ripple Effects via a Computational Hierarchical Change Management Structure," Risks, MDPI, vol. 8(2), pages 1-29, May.
    14. Eduardo C. Castro, 2020. "RegGae: a toolkit for macroprudential policy with DSGEs," Working Papers Series 526, Central Bank of Brazil, Research Department.
    15. Alogoskoufis, Spyros & Dunz, Nepomuk & Emambakhsh, Tina & Hennig, Tristan & Kaijser, Michiel & Kouratzoglou, Charalampos & Muñoz, Manuel A. & Parisi, Laura & Salleo, Carmelo, 2021. "ECB’s economy-wide climate stress test," Occasional Paper Series 281, European Central Bank.

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