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Looking at the evolution of macroprudential policy stance: A growth-at-risk experiment with a semi-structural model

Author

Listed:
  • Boucherie, Louis
  • Budnik, Katarzyna
  • Panos, Jiri

Abstract

This paper proposes a methodology for measuring the macroprudential policy stance based on a distance-to-tail metric perspective. This approach employs a large-scale semi-structural model reflecting the dynamics of 91 significant euro area banks and 19 euro area economies and is presented through an assessment of the stance evolution for the aggregate euro area economy and for the individual euro area countries. Our results uncover mild tightening of the macroprudential policy stance before the end of 2019. This trend is abruptly interrupted at the onset of the Covid-19 pandemic but reappears at the end of 2020 before picking up again over the first half of 2021. Our assessment also reveals a marginal impact of the macro-financial policies applied, which is particularly notable throughout 2020. JEL Classification: E37, E58, G21, G28

Suggested Citation

  • Boucherie, Louis & Budnik, Katarzyna & Panos, Jiri, 2022. "Looking at the evolution of macroprudential policy stance: A growth-at-risk experiment with a semi-structural model," Occasional Paper Series 301, European Central Bank.
    • Handle: RePEc:ecb:ecbops:2022301
    Note: 1355359
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    References listed on IDEAS

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    Cited by:

    1. Tihana Škrinjarić, 2024. "Growth-at-risk for macroprudential policy stance assessment: a survey," Bank of England working papers 1075, Bank of England.
    2. Tihana Skrinjaric & Maja Sabol, 2024. "Easier Said than Done: Predicting Downside Risks to House Prices in Croatia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 74(1), pages 43-72, March.
    3. 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.
    4. Tihana Škrinjarić, 2023. "Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia," Working Papers 72, The Croatian National Bank, Croatia.

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    Keywords

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    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • 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

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