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Macroprudential effects of systemic bank stress


  • Dees, S.
  • Gaiduchevici, G.
  • Grodzicki, M.
  • Gross, M.
  • Hilberg, B.
  • Maliszewski, K.
  • Rancoita, E.
  • Silva, R.
  • Testi, S.
  • Venditti, F.
  • Volk, M.


This article outlines a top-down macroprudential extension of the supervisory system-wide bank stress test. The extension is based on an analytical framework developed by ECB staff. It starts with projections of banks’ profitability and solvency based on the assumption that loan volumes change depending on the common baseline and adverse macro-financial scenario. Banks are then assumed to adjust to a specific capital ratio target under stress, at least partially by reducing their risk-weighted assets, leading to an ex ante negative loan supply shock. The resulting deterioration of macro-financial conditions would negatively affect bank solvency. Additionally, contagion and spillovers both within the banking sector and across economic sectors further erode banks’ capital. JEL Classification: G00

Suggested Citation

  • Dees, S. & Gaiduchevici, G. & Grodzicki, M. & Gross, M. & Hilberg, B. & Maliszewski, K. & Rancoita, E. & Silva, R. & Testi, S. & Venditti, F. & Volk, M., 2016. "Macroprudential effects of systemic bank stress," Macroprudential Bulletin, European Central Bank, vol. 2.
  • Handle: RePEc:ecb:ecbmbu:2016:0002:1

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    References listed on IDEAS

    1. Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2015. "Equilibrium fast trading," Journal of Financial Economics, Elsevier, vol. 116(2), pages 292-313.
    2. Thierry Foucault & Johan Hombert & Ioanid Roşu, 2016. "News Trading and Speed," Journal of Finance, American Finance Association, vol. 71(1), pages 335-382, February.
    3. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    4. Jonathan Brogaard & Björn Hagströmer & Lars Nordén & Ryan Riordan, 2015. "Trading Fast and Slow: Colocation and Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 28(12), pages 3407-3443.
    5. Monica Petrescu & Michael Wedow & Natalia Lari, 2017. "Do dark pools amplify volatility in times of stress?," Applied Economics Letters, Taylor & Francis Journals, vol. 24(1), pages 25-29, January.
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    Cited by:

    1. Budnik, Katarzyna & Groß, Johannes & Vagliano, Gianluca & Dimitrov, Ivan & Lampe, Max & Panos, Jiri & Velasco, Sofia & Boucherie, Louis & Jančoková, Martina, 2023. "BEAST: A model for the assessment of system-wide risks and macroprudential policies," Working Paper Series 2855, European Central Bank.

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    More about this item


    financial stability; macroprudential policy; bank stress; solvency;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General


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