Macroprudential policy and financial system stability: an aggregate study

Hamdi Jbir, Cornel Oros and Alexandra Popescu
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Hamdi Jbir: University of Poitiers
Alexandra Popescu: University of Poitiers

Empirical Economics, 2024, vol. 66, issue 5, No 3, 1973 pages

Abstract: Abstract This paper investigates the impact of macroprudential policy announcements on financial stability in Europe. Our three financial (in)stability proxies are systemic risk measures that cover all types of financial institutions and consider various financial market segments. We find that the announcements of macroprudential policy actions only contain banking systemic risk with the latter computed based on market data. However, when measuring systemic risk by including both market and balance sheet data, we observe an increase in the systemic risk of all financial institutions, banks and non-banks. This last result is confirmed when considering non-diversifiable risk across financial market segments.

Keywords: Macroprudential policy; Financial stability; Panel data; Systemic risk; C23; E61; G18; G21; G23 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00181-023-02524-5

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