IDEAS home Printed from https://ideas.repec.org/a/ijc/ijcjou/y2019q1a1.html

Calibrating Macroprudential Policy to Forecasts of Financial Stability

Author

Listed:
  • Scott A. Brave

    (Federal Reserve Bank of Chicago)

  • Jose A. Lopez

    (Federal Reserve Bank of San Francisco)

Abstract

Macroprudential policy is a relatively new responsibility for central banks and financial regulatory agencies, requiring new methods for analyzing previously untested policy tools like the countercyclical capital buffer. One of the first steps in this direction was the development of financial stability indicators (FSIs). While many FSIs have been proposed, they typically require further transformation for use by policymakers. We propose that a particular transformation based on transition probabilities between states of high and low financial stability be used, and demonstrate how to use these probabilities within a decision-theoretic framework to guide the implementation of U.S. countercyclical capital buffer policy.

Suggested Citation

  • Scott A. Brave & Jose A. Lopez, 2019. "Calibrating Macroprudential Policy to Forecasts of Financial Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 15(1), pages 1-59, March.
    • Handle: RePEc:ijc:ijcjou:y:2019:q:1:a:1
    as

    Download full text from publisher

    File URL: http://www.ijcb.org/journal/ijcb19q1a1.pdf
    Download Restriction: no
    File URL: http://www.ijcb.org/journal/ijcb19q1a1.htm
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hale, Galina & Lopez, Jose A., 2019. "Monitoring banking system connectedness with big data," Journal of Econometrics, Elsevier, vol. 212(1), pages 203-220.
    2. Maarten R.C. Van Oordt, 2023. "Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market‐Based Stress Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 465-501, March.
    3. Pfeifer, Lukáš & Hodula, Martin, 2018. "A profit-to-provisioning approach to setting the countercyclical capital buffer: the Czech example," ESRB Working Paper Series 82, European Systemic Risk Board.
    4. Pfeifer, Lukáš & Hodula, Martin, 2021. "A profit-to-provisioning approach to setting the countercyclical capital buffer," Economic Systems, Elsevier, vol. 45(1).

    More about this item

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    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:ijc:ijcjou:y:2019:q:1:a:1. 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 for International Settlements (email available below). General contact details of provider: https://www.ijcb.org/ .

    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.