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Financial Stability, Systemic Risk and Macroprudential Policy

In: CNB Financial Stability Report 2010/2011

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  • Jan Frait
  • Zlatuse Komarkova

Abstract

This article aims to open a debate on creating a macroprudential policy framework in the Czech Republic. It starts by describing how the CNB defines financial stability and what place macroprudential policy has within it. It then gives the sources of systemic risk and outlines the mechanisms which lead first to the accumulation and subsequently to the materialisation of such risk. It goes on to compare the operational framework of macroprudential policy with the traditional monetary policy framework. Tools and actions which can be included in the financial stability and macroprudential policy toolkit are subsequently incorporated into this framework.

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Bibliographic Info

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This chapter was published in: Jan Frait & Zlatuse Komarkova CNB Financial Stability Report 2010/2011, , chapter Thematic Article 1, pages 96-111, 2011.

This item is provided by Czech National Bank, Research Department in its series Occasional Publications - Chapters in Edited Volumes with number fsr1011/1.

Handle: RePEc:cnb:ocpubc:fsr1011/1

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References

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  1. Jan Frait & Luboš Komárek & Zlatuše Komárková, 2011. "Monetary Policy in a Small Economy after Tsunami: A New Consensus on the Horizon?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 61(1), pages 5-33, January.
  2. Jan Frait & Zlatuse Komarkova, 2009. "Instruments for Curbing Fluctuations in Lending over the Business Cycle," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2008/2009, chapter 0, pages 72-81 Czech National Bank, Research Department.
  3. Jean-Charles Rochet & Jean Tirole, 1996. "Interbank lending and systemic risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 733-765.
  4. Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007. "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(6), pages 2033-2060, June.
  5. Alessi, Lucia & Detken, Carsten, 2009. "'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity," Working Paper Series 1039, European Central Bank.
  6. Ramon Moreno, 2011. "Policymaking from a "macroprudential" perspective in emerging market economies," BIS Working Papers 336, Bank for International Settlements.
  7. William R. White & Claudio E. V. Borio, 2004. "Whither monetary and financial stability? the implications of evolving policy regimes," BIS Working Papers 147, Bank for International Settlements.
  8. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123 Central Bank of Chile.
  9. Piet Clement, 2010. "The term “macroprudential”: origins and evolution," BIS Quarterly Review, Bank for International Settlements, March.
  10. Christian Upper, 2007. "Using counterfactual simulations to assess the danger of contagion in interbank markets," BIS Working Papers 234, Bank for International Settlements.
  11. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973.
  12. Vaugirard, Victor, 2007. "Informational contagion of bank runs in a third-generation crisis model," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(3), pages 403-429, April.
  13. Claudio Borio & Mathias Drehmann, 2009. "Assessing the risk of banking crises - revisited," BIS Quarterly Review, Bank for International Settlements, March.
  14. Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2010. "Attributing systemic risk to individual institutions," BIS Working Papers 308, Bank for International Settlements.
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Citations

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Cited by:
  1. Frantisek Brazdik & Michal Hlavacek & Ales Marsal, 2011. "Survey of Research on Financial Sector Modeling within DSGE Models: What Central Banks Can Learn from It," Research and Policy Notes 2011/03, Czech National Bank, Research Department.
  2. Zlatuse Komarkova & Vaclav Hausenblas & Jan Frait, 2012. "How To Identify Systemically Important Financial Institutions," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 100-111 Czech National Bank, Research Department.
  3. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
  4. Miroslav Plasil & Ivana Kubicova, 2012. "Contingent Claims Analysis And The Inter-Sector Transmission Of Credit Risk," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 129-139 Czech National Bank, Research Department.
  5. Tomáš Klinger & Petr Teplý, 2014. "Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2014(1), pages 24-41.
  6. Jan FRAIT & Zlatuše KOMÁRKOVÁ, 2013. "Loan Loss Provisioning in Selected European Banking Sectors: Do Banks Really Behave in a Procyclical Way?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 63(4), pages 308-326, August.
  7. Frait, Jan & Gersl, Adam & Seidler, Jakub, 2011. "Credit growth and financial stability in the Czech Republic," Policy Research Working Paper Series 5771, The World Bank.

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