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An analytical framework to calibrate macroprudential policy

T. Bennani, C. Couaillier, A. Devulder, Silvia Gabrieli (), Julien Idier, P. Lopez, T. Piquard and V. Scalone

Working papers from Banque de France

Abstract: This project presents the analytical framework for macroprudential policy (AFMaP) developed at the Financial Stability Directorate of the Banque de France that could be used to calibrate macroprudential instruments and to provide analytical support to macroprudential policy decision making. In this paper, we present and compare several possible methodologies to calibrate macroprudential capital buffers that rely both on structural models and macroprudential stresstesting tools.

Keywords: Macroprudential policy; Countercyclical capital buffer; Systemic risk buffer. (search for similar items in EconPapers)
JEL-codes: G21 E44 C58 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-mac
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:648

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