macroprudential policy

Publication date: 4 May 2020 | Publication type: NIESR Discussion Paper | Authors: Davis, P | External authors: Karim, D, Noel, D | JEL classification: E44, E58, G17, G28 | Discussion paper category: Macroeconomics | NIESR discussion paper number: 514
Despite the importance of profitability to banks’ growth and stability, there have, to our knowledge, been no studies which assess the effect of macroprudential regulation on banks’ profitability, a key aspect of the transmission of macroprudential measures. We seek to fill this lacuna with...
Publication date: 21 Feb 2019 | Publication type: NIESR Discussion Paper | Theme: Britain & Finance | Authors: Davis, P | External authors: Karim, D, Noel, D | NIESR discussion paper number: 500
The Global Financial Crisis (GFC) highlighted the importance of a number of unresolved empirical issues in the field of financial stability. First, there is the sign of the relationship between bank competition and financial stability. Second, there is the relation of capital adequacy of banks to...
Publication date: 21 Feb 2019 | Publication type: NIESR Discussion Paper | Theme: Britain & Finance | Authors: Davis, P | External authors: Karim, D, Noel, D | NIESR discussion paper number: 499
Following experience in the global financial crisis (GFC), when banks with low leverage ratios were often in severe difficulty, despite high-risk-adjusted capital measures, a leverage ratio was introduced in Basel III to complement the risk-adjusted capital ratio (RAR). Empirical testing of the...
Publication date: 26 Mar 2018 | Publication type: NIESR Discussion Paper | Theme: Macroeconomics | Authors: Davis, P, Liadze, I, Piggott, R, Hurst, I | External authors: Carreras, O, Warren, J | JEL classification: E58, G28 | NIESR discussion paper number: 490
In this paper we incorporate a macroprudential policy model within a semi-structural global macroeconomic model, NiGEM. The existing NiGEM model is expanded for the UK, Germany and Italy¹ to include two macroprudential tools: loan-to-value ratios on mortgage lending and variable bank capital...
Publication date: 18 Dec 2017 | Publication type: NIESR Discussion Paper | Theme: Macroeconomics | Authors: Turner, P | JEL classification: E43, E52, E58, F41, G28 | NIESR discussion paper number: 484
Recent history suggests that raising interest rates higher than warranted by macroeconomic prospects would not be the right policy for financial stability. The significant tightening of monetary policies in the advanced economies from mid-2004 to mid-2006 failed to stop increased risk-taking in the...
Publication date: 2 Aug 2017 | Publication type: National Institute Economic Review | Theme: Macroeconomics | External authors: Barwell, R | JEL classification: D78, E58, E61, G18 | Journal: National Institute Economic Review Issue 241 | Publisher: Sage Publications, London
Economists understand that a fit for purpose policy regime requires a reliable general equilibrium model of the system in question and a well specified description of the objectives that the policymaker is trying to pursue. The current financial stability regime has neither and without these...
Publication date: 3 Feb 2016 | Publication type: National Institute Economic Review | External authors: Schoenmaker, D, Wierts, P | JEL classification: E58, G18, G28 | Journal: National Institute Economic Review Issue 235 | Publisher: Sage Publications, London
Financial supervision focuses on the aggregate (macroprudential) in addition to the individual (microprudential). But an agreed framework for measuring and addressing financial imbalances is lacking. We propose a holistic approach for the financial system as a whole, beyond banking. Building on our...
Publication date: 19 Aug 2012 | Publication type: NIESR Discussion Paper | Theme: Britain & Finance, Macroeconomics | Authors: Davis, P, Liadze, I | NIESR discussion paper number: 396
  The need to understand the dynamics and after-effects of the recent financial crisis,  the evolution of macroprudential surveillance and the introduction of macroprudential regulation all require appropriate macroeconomic models of financial institutions and  markets.  We present models of the...
Publication date: 29 Apr 2010 | Publication type: NIESR Discussion Paper | Authors: Barrell, R, Davis, P, Liadze, I | External authors: Karim, D. | JEL classification: C52, E58, G21 | NIESR discussion paper number: 354
Policy proposals on the new international standards for bank capital and liquidity are being debated without any methodical evaluation of their effects on both crisis probabilities and concurrent social costs. Using data for 14 OECD economies for the years 1980 Ð 2007, we conduct a systematic...