The Financial Macro-econometric Model (FMM, 2022 Version)

Nobuhiro Abe, Kyosuke Chikamatsu, Kenji Kanai, Yusuke Kawasumi, Ko Munakata, Koki Nakayama, Tatsushi Okuda and Yutaro Takano
Additional contact information
Nobuhiro Abe: Bank of Japan
Kyosuke Chikamatsu: Bank of Japan
Kenji Kanai: Bank of Japan
Yusuke Kawasumi: Bank of Japan
Ko Munakata: Bank of Japan
Koki Nakayama: Bank of Japan
Yutaro Takano: Bank of Japan

No 23-03-30, Bank of Japan Research Papers from Bank of Japan

Abstract: The Financial Macro-econometric Model (FMM) is the model that the Bank of Japan (BOJ) employs in its macro stress testing to examine the risk resilience of Japan's financial system in a comprehensive and quantitative manner. The BOJ semiannually publishes the results of its analyses based on this model in the Financial System Report. The FMM is also used in the simultaneous stress testing based on common scenarios conducted periodically with the Financial Services Agency of Japan. Key characteristics of the FMM are that it (1) explicitly captures feedback loops between the domestic banking sector and the real economy, and (2) makes it possible to calculate the variables of interest (e.g. amount of loans and capital adequacy ratios of Japanese banks), not only at the sector level but also at the individual bank level. Since its development in 2011, the FMM has been continuously improved to reflect new developments in economic and financial conditions and to better incorporate the transmission mechanisms of financial shocks into the macro stress testing. This paper provides an outline of the basic macro stress testing framework and the FMM, and then describes the structure of the model as of September 2022 in detail.

Keywords: Banks' stability; Macro stress test; Capital buffer regulation (search for similar items in EconPapers)
JEL-codes: E10 E32 E44 E47 G10 G21 G28 (search for similar items in EconPapers)
Date: 2023-03-30
New Economics Papers: this item is included in nep-ban, nep-cba, nep-des, nep-fdg and nep-mac
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.boj.or.jp/en/research/brp/ron_2023/data/ron230330a.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boj:bojron:ron230330a

Access Statistics for this paper

More papers in Bank of Japan Research Papers from Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Bank of Japan ().