Macroprudential Policy Calibration For Greece
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Macroprudential Policy Calibration For Greece
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Author : Mr. Marco Gross
language : en
Publisher: International Monetary Fund
Release Date : 2024-02-20
Macroprudential Policy Calibration For Greece written by Mr. Marco Gross 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 2024-02-20 with Business & Economics categories.
The Greek financial system has remained resilient underpinned by strengthening banks’ balance sheets, but still faces significant challenges ahead including the re-emergence of imbalances in the real estate market. Recognizing these imbalances, the authorities have recently introduced the necessary legal framework for setting borrower-based measures (BBMs), paving the way to activate both income- and collateral-based measures in near term. Simulations, which employ a quantitative framework combining micro- and macro-level data, show that BBMs would help enhance household resilience, with synergies when caps on debt service-to-income (DSTI) and loan-to-value (LTV) ratios are jointly implemented, leading over time to the more resilient banking system against potential risks. Caps could initially be set at less binding levels and gradually tightened based on a systemic risk assessment.
Greece
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Author : International Monetary Fund. European Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2024-01-24
Greece written by International Monetary Fund. European 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 2024-01-24 with Business & Economics categories.
Greece: Selected Issues
Calibrating Macroprudential Policies In Europe Amid Rising Housing Market Vulnerability
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Author : Ms. Laura Valderrama
language : en
Publisher: International Monetary Fund
Release Date : 2023-03-24
Calibrating Macroprudential Policies In Europe Amid Rising Housing Market Vulnerability written by Ms. Laura Valderrama 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 2023-03-24 with Business & Economics categories.
Housing market developments are in the spotlight in Europe. Over-stretched valuations amid tightening financial conditions and a cost-of-living crisis have increased risks of a sustained downturn and exposed challenging trade-offs for macroprudential policy between ensuring financial system resilience and smoothing the macro-financial cycle. Against this backdrop, this paper provides detailed considerations regarding how to (re)set macroprudential policy tools in response to housing-related systemic risk in Europe, providing design solutions to avoid unintended consequences during a tightening phase, and navigating the trade-offs between managing the build-up of vulnerabilities and the macro-financial cycle in a downturn. It also proposes a novel framework to measure the effectiveness of tools and avoid overlaps by quantifying the risks addressed by different macroprudential instruments. Finally, it introduces a taxonomy allowing to assess a country’s macroprudential stance and whether adjustments to current policy settings are warranted—such as the relaxation of capital-based tools and possibly some borrower-based measures in the event of a more severe downturn.
Debt Service And Default Calibrating Macroprudential Policy Using Micro Data
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Author : Erlend Nier
language : en
Publisher: International Monetary Fund
Release Date : 2019-08-22
Debt Service And Default Calibrating Macroprudential Policy Using Micro Data written by Erlend Nier 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 2019-08-22 with Business & Economics categories.
We provide empirical evidence to support the calibration of a limit on household indebtedness levels, in the form of a cap on the debt-service-to-income (DSTI) ratio, in order to reduce the probability of borrower defaults in Romania. The analysis establishes two findings that are new to the literature. First, we show that the relationship between DSTI and probability of default is non-linear, with probability of default responding to increases in DSTI only after a certain threshold. Second, we establish that consumer loan defaults occur at lower levels of DSTI compared to mortgages. Our results support the recent regulation adopted by the National Bank of Romania, limiting the household DSTI at origination to 40 percent for new mortgages and consumer loans. Our counterfactual analysis indicates that had the limit been in place for all the loans in our sample, the probability of default (PD) would have been lower by 23 percent.
Macroprudential Policies In Southeastern Europe
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Author : Dilyana Dimova
language : en
Publisher: International Monetary Fund
Release Date : 2016-02-15
Macroprudential Policies In Southeastern Europe written by Dilyana Dimova 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 2016-02-15 with Business & Economics categories.
This paper presents a detailed account of the rich set of macroprudential measures taken in four Southeastern European countries—Bulgaria, Croatia, Romania, and Serbia—during their synchronized boom and bust cycles in 2003–12, and assesses their effectiveness. We find that only strong measures helped contain domestic credit growth, the share of foreigncurrency- denominated loans provided by the domestic banking sector, or the domestic banking sector’s reliance on foreign borrowing during the boom years. We also find that circumvention via direct external borrowing often fully offset the effectiveness of these strict measures, and thatmeasures taken during the bust had no discernible impact. We conclude that (i) proper calibration of macroprudential measures is of the essence; (ii) only strong, broad-based macroprudential measures can contain credit booms; (iii) econometric studies of macroprudential policy effectiveness should focus on measures rather than on instruments (i.e. classes of measures) and in so doing allow for possible non-linear and state-contingent effects.
Greece Selected Issues
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Author : International Monetary
language : en
Publisher: International Monetary Fund
Release Date : 2022-06-21
Greece Selected Issues written by International Monetary 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 2022-06-21 with Business & Economics categories.
Greece: Selected Issues
Stress Testing And Calibration Of Macroprudential Policy Tools
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Author : Lucyna Gornicka
language : en
Publisher:
Release Date : 2020-08-14
Stress Testing And Calibration Of Macroprudential Policy Tools written by Lucyna Gornicka and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-14 with categories.
We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The proposed approach is very flexible and is particularly useful when there is limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and when structural shocks or changes in financial regulations have altered the loan default process. We apply the model to quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk bucket and vintage, which enables us to take explicit account of the loan life cycle and to incorporate the housing and economic cycles. This feature facilitates a timely assessment of banks' loss-absorbing capacity and the buildup of systemic risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy interventions.
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
Monetary And Macroprudential Policy In An Estimated Dsge Model Of The Euro Area
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Author : Mr.Dominic Quint
language : en
Publisher: International Monetary Fund
Release Date : 2013-10-14
Monetary And Macroprudential Policy In An Estimated Dsge Model Of The Euro Area written by Mr.Dominic Quint 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 2013-10-14 with Business & Economics categories.
In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a macroprudential rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies. Macroprudential policy would always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In particular, macroprudential policy may entail welfare costs for borrowers under technology shocks, by increasing the countercyclical behavior of lending spreads.
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets
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Author : Otaviano Canuto
language : en
Publisher: World Bank Publications
Release Date : 2013-10-29
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets written by Otaviano Canuto and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-29 with Business & Economics categories.
This book deals with the challenges of macro financial linkages in the emerging markets.