Macroprudential policy and financial system stability: an aggregate study

IF 1.9 4区经济学 Q2 ECONOMICS

Empirical Economics Pub Date : 2023-11-20 DOI:10.1007/s00181-023-02524-5

Hamdi Jbir, Cornel Oros, Alexandra Popescu

引用次数: 0

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.

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宏观审慎政策与金融体系稳定:一个综合研究

本文研究了欧洲宏观审慎政策公告对金融稳定的影响。我们的三个金融稳定性代理是涵盖所有类型金融机构并考虑各种金融细分市场的系统性风险度量。我们发现宏观审慎政策行动的公告只包含银行系统风险，后者是基于市场数据计算的。然而，当通过包括市场和资产负债表数据来衡量系统风险时，我们观察到所有金融机构，银行和非银行机构的系统风险都在增加。最后一个结果在考虑跨金融细分市场的不可分散风险时得到证实。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Empirical Economics Multiple-

CiteScore

4.40

自引率

0.00%

发文量

157

期刊介绍： Empirical Economics publishes high quality papers using econometric or statistical methods to fill the gap between economic theory and observed data. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well as econometric methods and measurement. Empirical Economics emphasizes the replicability of empirical results. Replication studies of important results in the literature - both positive and negative results - may be published as short papers in Empirical Economics. Authors of all accepted papers and replications are required to submit all data and codes prior to publication (for more details, see: Instructions for Authors).The journal follows a single blind review procedure. In order to ensure the high quality of the journal and an efficient editorial process, a substantial number of submissions that have very poor chances of receiving positive reviews are routinely rejected without sending the papers for review.Officially cited as: Empir Econ