Measuring systemic risk: the role of macro-prudential indicators

Tony Wolken
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Tony Wolken: Reserve Bank of New Zealand, http://www.rbnz.govt.nz

Reserve Bank of New Zealand Bulletin, 2013, vol. 76, No 4, 13-30

Abstract: This article outlines some of the key indicators the Reserve Bank uses to help inform macro -prudential policy decisions. Macro-prudential indicators (MPIs) play an important role in the identification of financial system risk; the assessment of the banking system's capacity to weather periods of financial stress; and in signalling periods of financial stress. The indicators inform decisions to both deploy and remove macro-prudential instruments. The article explains how the MPI framework helped to frame the recent decision to impose residential mortgage loan-to-value (LVR) restrictions. Data-file for MPIs (XLS 1.1MB) discussed in the main text of this article.

Date: 2013
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