IDEAS home Printed from https://ideas.repec.org/p/boj/bojron/ron230330a.html
   My bibliography  Save this paper

The Financial Macro-econometric Model (FMM, 2022 Version)

Author

Listed:
  • Nobuhiro Abe

    (Bank of Japan)

  • Kyosuke Chikamatsu

    (Bank of Japan)

  • Kenji Kanai

    (Bank of Japan)

  • Yusuke Kawasumi

    (Bank of Japan)

  • Ko Munakata

    (Bank of Japan)

  • Koki Nakayama

    (Bank of Japan)

  • Tatsushi Okuda

    (International Monetary Fund)

  • Yutaro Takano

    (Bank of Japan)

Abstract

The Financial Macro-econometric Model (FMM) is the model that the Bank of Japan (BOJ) employs in its macro stress testing to examine the risk resilience of Japan's financial system in a comprehensive and quantitative manner. The BOJ semiannually publishes the results of its analyses based on this model in the Financial System Report. The FMM is also used in the simultaneous stress testing based on common scenarios conducted periodically with the Financial Services Agency of Japan. Key characteristics of the FMM are that it (1) explicitly captures feedback loops between the domestic banking sector and the real economy, and (2) makes it possible to calculate the variables of interest (e.g. amount of loans and capital adequacy ratios of Japanese banks), not only at the sector level but also at the individual bank level. Since its development in 2011, the FMM has been continuously improved to reflect new developments in economic and financial conditions and to better incorporate the transmission mechanisms of financial shocks into the macro stress testing. This paper provides an outline of the basic macro stress testing framework and the FMM, and then describes the structure of the model as of September 2022 in detail.

Suggested Citation

  • Nobuhiro Abe & Kyosuke Chikamatsu & Kenji Kanai & Yusuke Kawasumi & Ko Munakata & Koki Nakayama & Tatsushi Okuda & Yutaro Takano, 2023. "The Financial Macro-econometric Model (FMM, 2022 Version)," Bank of Japan Research Papers 23-03-30, Bank of Japan.
    • Handle: RePEc:boj:bojron:ron230330a
    as

    Download full text from publisher

    File URL: https://www.boj.or.jp/en/research/brp/ron_2023/data/ron230330a.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Banks' stability; Macro stress test; Capital buffer regulation;
    All these keywords.

    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boj:bojron:ron230330a. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bank of Japan (email available below). General contact details of provider: https://edirc.repec.org/data/bojgvjp.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.