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Macroprudential Bulletin

2016 - 2022

From European Central Bank
60640 Frankfurt am Main, Germany.
Contact information at EDIRC.

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2022, volume 16

Mind the liquidity gap: a discussion of money market fund reform proposals Downloads
Michael Grill, Luis Molestina Vivar, Christian Mücke, O’Donnell, Charles, O’Sullivan, Sean, Michael Wedow, Moritz Weis and Christian Weistroffer

2021, volume 15

Travelling down the green brick road: a status quo assessment of the EU taxonomy Downloads
Lucia Alessi, Stefano Battiston and Ana Sofia Melo
The challenge of capturing climate risks in the banking regulatory framework: is there a need for a macroprudential response? Downloads
Ivana Baranović, Iulia Busies, Wouter Coussens, Michael Grill and Hannah S. Hempell

2021, volume 14

Macroeconomic impact of Basel III finalisation on the euro area Downloads
Katarzyna Budnik, Ivan Dimitrov, Johannes Groß, Max Lampe and Matjaž Volk

2021, volume 13

What makes banks adjust dividend payouts? Downloads
Marco Belloni, Maciej Grodzicki and Mariusz Jarmuzek
Evaluating the impact of dividend restrictions on euro area bank valuations Downloads
Desislava Andreeva, Paul Bochmann, Jonas Mosthaf and Julius Schneider
Evaluating the benefits of euro area dividend distribution recommendations on lending and provisioning Downloads
Ernest Dautovic, Aurea Marques, Alessio Reghezza, Rodriguez d’Acri, Costanza, Diego Vila Martín and Nadya Wildmann
System-wide measures on banks’ distributions – motivations and challenges Downloads
Eleni Katsigianni, Kamil Klupa, Marcello Tumino and Balázs Zsámboki

2021, volume 12

A theoretical model analysing investment funds’ liquidity management and policy measures Downloads
Margherita Giuzio, Michael Grill, Dominika Kryczka and Christian Weistroffer
The suspensions of redemptions during the COVID 19 crisis – a case for pre-emptive liquidity measures? Downloads
Michael Grill, Luis Molestina Vivar and Michael Wedow
How effective is the EU Money Market Fund Regulation? Lessons from the COVID 19 turmoil Downloads
Laura-Dona Capotă, Michael Grill, Luis Molestina Vivar, Niklas Schmitz and Christian Weistroffer
Liquidity transformation by investment funds: structural fault line or desirable financial transformation? A systemic perspective Downloads
Michael Grill, Seán O´Sullivan, Michael Wedow and Christian Weistroffer

2020, volume 11

Enhancing macroprudential space when interest rates are “low for long” Downloads
Matthieu Darracq Paries, Christoffer Kok and Matthias Rottner
Financial market pressure as an impediment to the usability of regulatory capital buffers Downloads
Desislava Andreeva, Paul Bochmann and Cyril Couaillier
Buffer use and lending impact Downloads
Marcin Borsuk, Katarzyna Budnik and Matjaž Volk
Macroprudential capital buffers – objectives and usability Downloads
Markus Behn, Elena Rancoita and Rodriguez d’Acri, Costanza

2020, volume 10

A regulatory and financial stability perspective on global stablecoins Downloads
Mitsutoshi Adachi, Matteo Cominetta, Christoph Kaufmann and Anton van der Kraaij

2019, volume 9

Investigating initial margin procyclicality and corrective tools using EMIR data Downloads
Matteo Cominetta, Michael Grill and Audrius Jukonis
Is leverage driving procyclical investor flows? Assessing investor behaviour in UCITS bond funds Downloads
Luis Molestina Vivar, Michael Wedow and Christian Weistroffer
The disciplining effect of supervisory scrutiny on banks’ risk-taking: evidence from the EU wide stress test Downloads
Christoffer Kok, Carola Müller and Cosimo Pancaro
On the interaction between different bank liquidity requirements Downloads
Markus Behn, Renzo Corrias and Magdalena Rola-Janicka
Bank capital-at-risk: measuring the impact of cyclical systemic risk on future bank losses Downloads
Jan Hannes Lang and Marco Forletta

2019, volume 8

The macroeconomic impact of changes in economic bank capital buffers Downloads
Derrick Kanngiesser, Reiner Martin, Diego Moccero and Laurent Maurin
Thinking beyond borders: how important are reciprocity arrangements for the use of sectoral capital buffers? Downloads
David Cantone, Nadya Wildmann and Elena Rancoita
Understanding the specific features of the CCyB and the SCCyB − evidence from the 3D DSGE model Downloads
Nadya Wildmann and Mara Pirovano

2019, volume 7

Shelter from the storm: recent countercyclical capital buffer (CCyB) decisions Downloads
Domagoj Babić and Stephan Fahr
Macroprudential analysis of residential real estate markets Downloads
Marco Lo Duca, Mara Pirovano, Marek Rusnák and Eugen Tereanu
A bird’s-eye view of the resilience of the European banking system: results from the new macroprudential stress test framework Downloads
Katarzyna Budnik
Is taxpayers’ money better protected now? An assessment of banking regulatory reforms ten years after the global financial crisis Downloads
Jacopo Carmassi, Renzo Corrias and Laura Parisi

2018, volume 6

Macroprudential liquidity tools for investment funds - A preliminary discussion Downloads
Matteo Cominetta, Claudia Lambert, Anouk Levels, Anders Rydén and Christian Weistroffer
Does the G-SIB framework incentivise window-dressing behaviour? Evidence of G-SIBs and reporting banks Downloads
Markus Behn, Laura Parisi, Michael Wedow and Giacomo Mangiante
The implications of removing repo assets from the leverage ratio Downloads
Jan Philipp Fritsche, Michael Grill and Claudia Lambert

2018, volume 5

Targeted review of the macroprudential framework Downloads
Johanne Evrard, Nadya Wildmann, Ana Sofia Melo and Balázs Zsámboki
How competition and regulation drive bank and investment fund risk profiles and their market shares Downloads
Michael Grill, Daria Kalyaeva and Claudia Lambert
Using large exposure data to gauge the systemic importance of SSM significant institutions Downloads
Giovanni Covi, Christoffer Kok and Barbara Meller

2017, volume 4

Macroprudential regulatory issues – The ECB’s key messages on the European Commission’s banking reform package from a macroprudential perspective Downloads
B. Attinger, A. Baumann, R. Corrias, N. Jahn, A. Melo, P. Torstensson and B. Zsámboki
Macroprudential policy analysis and tools – Assessing the impact of bank capitalisation changes conditional on a bail-in versus bail-out regime Downloads
M. Gross and J. Población
MREL: financial stability implications Downloads
G. Gaiduchevici and Dawid Żochowski

2017, volume 3

Exposure of the European Deposit Insurance Scheme to bank failures and the benefits of risk-based contributions Downloads
J. Carmassi, S. Dobkowitz, J. Evrard, André Silva and Michael Wedow
Macroprudential policy analysis and tools – Stress test quality assurance from a top-down perspective Downloads
H. Mirza and Dawid Żochowski
ECB floor methodology for setting the capital buffer for an identified Other Systemically Important Institution (O-SII) Downloads
M. Behn, G. Cappelletti, P. Kaltwasser, M. Kolb, Adam Pawlikowski, K. Tracol, Carmelo Salleo and A. van der Kraaij

2016, volume 2

High-frequency Trading, Market Volatility, and Regulation: The Role of High-frequency Quoting and Dark Pools Downloads
Romain Lafarguette
Macroprudential policy analysis and tools - Monitoring euro area banks’ risk weight developments Downloads
M. Caccavaio and C. Rodriguez d´Acri
Macroprudential effects of systemic bank stress Downloads
Stephane Dees, G. Gaiduchevici, M. Grodzicki, M. Gross, B. Hilberg, K. Maliszewski, E. Rancoita, R. Silva, S. Testi, Fabrizio Venditti and Matjaž Volk

2016, volume 1

A bank-level early warning model and its uses in macroprudential policy Downloads
Jan Hannes Lang
A model of the euro area household sector for stress testing and assessing the efficacy of lending standardrelated macroprudential policy measures Downloads
M. Gross and J. Poblacion
Capital requirements in a model for the SSM area with three layers of default Downloads
A. Colciago, S. Fahr, Samuel Hurtado, Caterina Mendicino, Kalin Nikolov and D. Supera
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