Macroprudential Stress-Testing Practices of Central Banks in Central and Southeastern Europe: Comparison and Challenges Ahead

Martin Melecký and Anca Pruteanu-Podpiera

Emerging Markets Finance and Trade, 2012, vol. 48, issue 4, 118-134

Abstract: This paper reviews and compares stress-testing practices of central banks in Central and Southeastern Europe (CSEECBs) and outlines challenges in the area of stress testing going forward. The authors, focusing their comparison on CSEECBs, construct the baseline and stress scenarios, map macroeconomic scenarios and microeconomic factors to risk factors, calculate risk exposures to different risk indicators, and estimate outcome indicators to inform macroprudential policy. The main challenges going forward concern data reliability, consideration of quantitative microprudential indicators, incorporation of feedback effects in stress tests, institutionalization of macroprudential policy responses to alarming stress-test results, and information exchange for better cross-border supervision.

Keywords: central banks; Central and Southeastern Europe; financial stability; macroprudential stress tests; prudential supervision (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://mesharpe.metapress.com/link.asp?target=contribution&id=2P86248J7L00L25R (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:48:y:2012:i:4:p:118-134

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().