EconPapers    
Economics at your fingertips  
 

Macroprudential policy and financial system stability: an aggregate study

Hamdi Jbir, Cornel Oros and Alexandra Popescu (alexandra.popescu@univ-orleans.fr)
Additional contact information
Hamdi Jbir: LéP [Poitiers] - Laboratoire d'économie de Poitiers - UP - Université de Poitiers = University of Poitiers
Alexandra Popescu: LéP [Poitiers] - Laboratoire d'économie de Poitiers - UP - Université de Poitiers = University of Poitiers

Post-Print from HAL

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 (search for similar items in EconPapers)
Date: 2023-11-20
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Empirical Economics, 2023, ⟨10.1007/s00181-023-02524-5⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Macroprudential policy and financial system stability: an aggregate study (2024) Downloads
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:hal:journl:hal-04324779

DOI: 10.1007/s00181-023-02524-5

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).

 
Page updated 2025-03-22
Handle: RePEc:hal:journl:hal-04324779