Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Ron Anderson, Jon Danielsson, Chikako Baba, Udaibir Das, Heedon Kang and Miguel Segoviano

No 2018/197, IMF Working Papers from International Monetary Fund

Abstract: Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.

Keywords: WP; capital ratio; financial system; accounting data; central bank; fire sales; Macroprudential Stress testing; Macroprudential Policy; Systemic Risk; Financial Stability; classified loan; information asymmetry; subprime mortgage; negative equity; hurdle rate; bank portfolio redistribution; portfolio redistribution; inflation rate; credit market; Stress testing; Asset liquidity; Countercyclical capital buffers; Global; Europe (search for similar items in EconPapers)
Pages: 79
Date: 2018-09-11
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Citations: View citations in EconPapers (19)

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