An analytical framework to calibrate macroprudential policy

T. Bennani, Cyril Couaillier, Antoine Devulder, Silvia Gabrieli (), Julien Idier, P. Lopez, T. Piquard and V. Scalone

Working papers from Banque de France

Abstract: This project presents the analytical framework for macroprudential policy (AFMaP) developed at the Financial Stability Directorate of the Banque de France that could be used to calibrate macroprudential instruments and to provide analytical support to macroprudential policy decision making. In this paper, we present and compare several possible methodologies to calibrate macroprudential capital buffers that rely both on structural models and macroprudential stresstesting tools.

Keywords: Macroprudential policy; Countercyclical capital buffer; Systemic risk buffer. (search for similar items in EconPapers)
JEL-codes: C58 E32 E44 G21 (search for similar items in EconPapers)
Pages: 86 pages
Date: 2017
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:648

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