A Semi Structural Model For Credit Cycle And Policy Analysis An Application For Luxembourg

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A Semi Structural Model For Credit Cycle And Policy Analysis An Application For Luxembourg

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Author : Carlos de Resende
language : en
Publisher: International Monetary Fund
Release Date : 2024-07-09

A Semi Structural Model For Credit Cycle And Policy Analysis An Application For Luxembourg written by Carlos de Resende and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-07-09 with categories.

The paper explores the nexus between the financial and business cycles in a semi-structural New Keynesian model with a financial accelerator, an active banking sector, and an endogenous macroprudential policy reaction function. We parametrize the model for Luxembourg through a mix of calibration and Bayesian estimation techniques. The model features dynamic properties that align with theoretical priors and empirical evidence and displays sensible data-matching and forecasting capabilities, especially for credit indicators. We find that the credit gap, which remained positive during COVID-19 amid continued favorable financial conditions and policy support, had been closing by mid-2022. Model-based forecasts using data up to 2022Q2 and conditional on the October 2022 WEO projections for the Euro area suggest that Luxembourg's business and credit cycles would deteriorate until late 2024. Based on these insights about the current and projected positions in the credit cycle, the model can guide policymakers on how to adjust the macroprudential policy stance. Policy simulations suggest that the weights given to measures of credit-to-GDP and asset price gaps in the macroprudential policy rule should be well-calibrated to avoid unwarranted volatility in the policy response.

Model Driven Macrofinancial Policy Analysis In The

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Author : Knarik Ayvazyan
language : en
Publisher: International Monetary Fund
Release Date : 2025-06-06

Model Driven Macrofinancial Policy Analysis In The written by Knarik Ayvazyan and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-06 with categories.

This quantitative model for Macrofinancial Policy Analysis for the WAEMU was developed to deepen the Fund’s engagement in macrofinancial surveillance in the region. By analyzing unobserved credit cycle dynamics and risks, and emphasizing macrofinancial linkages, the model helps assess the consistency between real and credit cycles, build alternative scenarios, offers medium-term macroeconomic projections, and support macrofinancial policy analysis.

West African Economic And Monetary Union

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Author : International Monetary Fund. African Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2025-05-19

West African Economic And Monetary Union written by International Monetary Fund. African Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-05-19 with categories.

2025 Selected Issues

Monetary And Macroprudential Policy With Endogenous Risk

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Author : Tobias Adrian
language : en
Publisher:
Release Date : 2020

Monetary And Macroprudential Policy With Endogenous Risk written by Tobias Adrian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

Evaluating The Net Benefits Of Macroprudential Policy

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Author : Mr.Nicolas Arregui
language : en
Publisher: International Monetary Fund
Release Date : 2013-07-17

Evaluating The Net Benefits Of Macroprudential Policy written by Mr.Nicolas Arregui and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-17 with Business & Economics categories.

The paper proposes a simple, new, analytical framework for assessing the cost and benefits of macroprudential policies. It proposes a measure of net benefits in terms of parameters that can be estimated: the probability of crisis, the loss in output given crisis, policy effectiveness in bringing down both the probability and damage during crisis, and the output-cost of a policy decision. It discusses three types of policy leakages and identifies instruments that could best minimize the leakages. Some rules of thumb for policymakers are provided.

International Convergence Of Capital Measurement And Capital Standards

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Author :
language : en
Publisher: Lulu.com
Release Date : 2004

International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.

Staff Guidance Note On Macroprudential Policy

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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2014-06-11

Staff Guidance Note On Macroprudential Policy written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-11 with Business & Economics categories.

This note provides guidance to facilitate the staff’s advice on macroprudential policy in Fund surveillance. It elaborates on the principles set out in the “Key Aspects of Macroprudential Policy,” taking into account the work of international standard setters as well as the evolving country experience with macroprudential policy. The main note is accompanied by supplements offering Detailed Guidance on Instruments and Considerations for Low Income Countries

Stress Testing At The Imf

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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05

Stress Testing At The Imf written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-05 with Business & Economics categories.

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.

Revisiting Risk Weighted Assets

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Author : Vanessa Le Leslé
language : en
Publisher: International Monetary Fund
Release Date : 2012-03-01

Revisiting Risk Weighted Assets written by Vanessa Le Leslé and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-01 with Business & Economics categories.

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

A Macroeconomic Approach To The Term Premium

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Author : Emanuel Kopp
language : en
Publisher: International Monetary Fund
Release Date : 2018-06-15

A Macroeconomic Approach To The Term Premium written by Emanuel Kopp and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-15 with Business & Economics categories.

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.