Advanced Search
MyIDEAS: Login to save this article or follow this journal

Identifying imbalances in the Hungarian banking system (‘early warning’ system)

Contents:

Author Info

  • Dániel Holló

    ()
    (Magyar Nemzeti Bank (central bank of Hungary))

Registered author(s):

    Abstract

    The new Hungarian Central Bank Act passed at the end of 2011 delegated macroprudential regulatory powers to the MNB. The essential elements of an effective macro-prudential policy are analytical tools which make it possible to quantify the effects arriving via different systemic risk channels and regulatory instruments which can help in the management of systemic risks. Among the four analytical tools tuned to identify and measure systemic risk (‘early warning’ system, stress tests, contagion models and a system-wide financial stress indicator) two are already in regular use at the MNB (stress tests and the system-wide financial stress indicator), a contagion model is currently under development and the ‘early warning’ system is about to be introduced. This article presents one of the four tools discussed above: the ‘early warning’ system. The ‘early warning’ system may help in the identification of periods characterised by excessive credit growth and the accumulation of critical imbalances on the banking sector’s assets and liabilities side as a result of excessive bank lending (excessive credit growth channel of systemic risk), and may serve as a point of reference for the timing of the introduction of measures named in the new MNB Act to reduce systemic risk (e.g. anti-cyclical capital buffer and other regulatory instruments designed to prevent excessive credit growth). Our results show that excessive imbalances on the asset and liability sides of the Hungarian banking system started to emerge in 2005 Q4; the current problems facing Hungarian banks stem from the large imbalances on the assets and liabilities side (excessive credit growth and significant increase in the share of non-core or secondary liabilities within total liabilities), which characterised the period between 2005 Q4 and 2008 Q4.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kiadvanyok/mnben_mnbszemle/mnben-bulletin-october-2012/hollo_ENG.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Magyar Nemzeti Bank (the central bank of Hungary) in its journal MNB Bulletin.

    Volume (Year): 7 (2012)
    Issue (Month): 3 (October)
    Pages: 38-45

    as in new window
    Handle: RePEc:mnb:bullet:v:7:y:2012:i:3:p:38-45

    Contact details of provider:
    Web page: http://www.mnb.hu/
    More information through EDIRC

    Related research

    Keywords: ‘early warning’ system; macroprudential policy; systemic risk.;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
    2. Reinhart, Carmen & Rogoff, Kenneth, 2009. "Banking Crises: An Equal Opportunity Menace," CEPR Discussion Papers 7131, C.E.P.R. Discussion Papers.
    3. Fabian Valencia & Luc Laeven, 2008. "Systemic Banking Crises," IMF Working Papers 08/224, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:mnb:bullet:v:7:y:2012:i:3:p:38-45. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maja Bajcsy).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.