IDEAS home Printed from https://ideas.repec.org/p/nbp/nbpmis/325.html
   My bibliography  Save this paper

InSTA – integrated stress-testing approach at NBP. The past, present and future perspectives

Author

Listed:
  • Marcin Borsuk

    (Narodowy Bank Polski)

  • Oskar Krzesicki

    (Narodowy Bank Polski)

Abstract

Stress testing is one of the fastest growing fields in the prudential world. It has recently gained importance as a tool for both microprudential and macroprudential purposes. In recent years Narodowy Bank Polski (NBP) has been developing an integrated stress-testing approach (InSTA), which captures the various sources of risk to solvency and liquidity as well as spillover effects that banks operating in Poland may face. The aim of this article it to present and discuss NBP’s approach to conducting macro stress tests. We also point out the main areas where further analytical work should be focused on.

Suggested Citation

  • Marcin Borsuk & Oskar Krzesicki, 2020. "InSTA – integrated stress-testing approach at NBP. The past, present and future perspectives," NBP Working Papers 325, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:325
    as

    Download full text from publisher

    File URL: https://static.nbp.pl/publikacje/materialy-i-studia/325_en.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Roman Horváth, 2009. "The Determinants of the Interest Rate Margins of Czech Banks," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(2), pages 128-136, June.
    2. Rajkamal Iyer & Manju Puri, 2012. "Understanding Bank Runs: The Importance of Depositor-Bank Relationships and Networks," American Economic Review, American Economic Association, vol. 102(4), pages 1414-1445, June.
    3. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    4. Huang, Rocco & Ratnovski, Lev, 2011. "The dark side of bank wholesale funding," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 248-263, April.
    5. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
    6. Kok, Christoffer & Mirza, Harun & Pancaro, Cosimo, 2019. "Macro stress testing euro area banks’ fees and commissions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 97-119.
    7. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
    8. David Tennant & Abiodun Folawewo, 2009. "Macroeconomic and market determinants of interest rate spreads in low- and middle-income countries," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 489-507.
    9. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, December.
    10. Roman Horváth, 2009. "Interest Margins Determinants of Czech Banks," Working Papers IES 2009/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2009.
    11. Nir Klein, 2013. "Non-Performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance," IMF Working Papers 2013/072, International Monetary Fund.
    12. Ms. Mwanza Nkusu, 2011. "Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies," IMF Working Papers 2011/161, International Monetary Fund.
    13. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marcin Borsuk & Konrad Kostrzewa, 2020. "Miary ryzyka systemowego dla Polski. Jak ryzyko systemowe wpływa na akcję kredytową banków?," Bank i Kredyt, Narodowy Bank Polski, vol. 51(3), pages 211-238.
    2. Aneta Hryckiewicz & Petra Pawlowski & Piotr Michal Mazur & Marcin Borsukb, 2022. "Sovereign Debt Holding and Bank Sensitivity toward Market Risk: An Alternative View of the Bank–Sovereign Problem," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-52, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marcin Borsuk, 2019. "Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 89-106, March.
    2. Koffie Ben Nassar & Edder Martinez & Anabel Pineda, 2014. "Determinants of Banks' Net Interest Margins in Honduras," IMF Working Papers 2014/163, International Monetary Fund.
    3. Brei, Michael & Jacolin, Luc & Noah, Alphonse, 2020. "Credit risk and bank competition in Sub-Saharan Africa," Emerging Markets Review, Elsevier, vol. 44(C).
    4. Aleš Melecký & Martin Melecký & Monika Šulganová, 2015. "Úvěry v selhání a makroekonomika: modelování systémového kreditního rizika v České republice [Non-Performing Loans and The Macroeconomy: Modeling the Systemic Credit Risk in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(8), pages 921-947.
    5. Candida Ferreira, 2023. "The Influence of Bank Performance, Market Condition and Economic Growth on Non-Performing Loansa," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 9(1), pages 77-98, June.
    6. Cândida Ferreira, 2022. "Determinants of Non-performing Loans: A Panel Data Approach," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 28(3), pages 133-153, November.
    7. Koffie Nassar & Edder Martinez & Anabel Pineda, 2017. "Determinants of Banks’ Net Interest Margins in Honduras," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(7), pages 5-27, May.
    8. Catalán-Herrera, Juan & Arriaza, Juan Carlos & Alvarado, Ricardo, 2019. "Is the financial accelerator story, empirically relevant for the determinants of the interest rate spread?," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 37-47.
    9. Gulati, Rachita & Goswami, Anju & Kumar, Sunil, 2019. "What drives credit risk in the Indian banking industry? An empirical investigation," Economic Systems, Elsevier, vol. 43(1), pages 42-62.
    10. Grigoli, Francesco & Mansilla, Mario & Saldías, Martín, 2018. "Macro-financial linkages and heterogeneous non-performing loans projections: An application to Ecuador," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 130-141.
    11. Karsten Staehr & Lenno Uusküla, 2020. "Macroeconomic and macro-financial factors as leading indicators of non-performing loans," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 48(3), pages 720-740, February.
    12. Aswini Kumar Mishra & Shikhar Jain & Mohammad Abid, 2021. "Non‐performing assets and its determinants in the Indian banking system: An empirical analysis using dynamic panel data models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5948-5962, October.
    13. Elizabeth J. Casabianca, 2020. "Credit Supply Response to Non-Performing Loans: Some Evidence From the Italian Banking System," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(4), pages 1-3.
    14. Juergen Bitzer & Erkan Goeren, 2018. "Foreign Aid and Subnational Development: A Grid Cell Analysis," Working Papers V-407-18, University of Oldenburg, Department of Economics, revised Mar 2018.
    15. Dominika Ehrenbergerová & Martin Hodula & Zuzana Gric, 2022. "Does capital-based regulation affect bank pricing policy?," Journal of Regulatory Economics, Springer, vol. 61(2), pages 135-167, April.
    16. Schumann, Martin & Severini, Thomas A. & Tripathi, Gautam, 2021. "Integrated likelihood based inference for nonlinear panel data models with unobserved effects," Journal of Econometrics, Elsevier, vol. 223(1), pages 73-95.
    17. Hyunseok Kim & GianCarlo Moschini, 2018. "The Dynamics of Supply: U.S. Corn and Soybeans in the Biofuel Era," Land Economics, University of Wisconsin Press, vol. 94(4), pages 593-613.
    18. Reyna, Debora & Céspedes, Nikita, 2016. "La Oferta Laboral en Perú," Working Papers 2016-017, Banco Central de Reserva del Perú.
    19. Li, Yi, 2021. "Reciprocal lending relationships in shadow banking," Journal of Financial Economics, Elsevier, vol. 141(2), pages 600-619.
    20. Temple, Jonathan & Van de Sijpe, Nicolas, 2017. "Foreign aid and domestic absorption," Journal of International Economics, Elsevier, vol. 108(C), pages 431-443.

    More about this item

    Keywords

    stress-tests; financial stability; systemic risk; macroprudential policy;
    All these keywords.

    JEL classification:

    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • 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
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbp:nbpmis:325. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jakub Growiec (email available below). General contact details of provider: https://edirc.repec.org/data/nbpgvpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.