Π‘ΡΠ΄ΡΡΠΆΠ°Π½ΠΈΠ΅ΡΠΎ Π½Π΅ Π΅ Π½Π°Π»ΠΈΡΠ½ΠΎ Π½Π° Π±ΡΠ»Π³Π°ΡΡΠΊΠΈ Π΅Π·ΠΈΠΊ.
Paul Konietschke
- 15 May 2024
- OCCASIONAL PAPER SERIES - No. 348Details
- Abstract
- This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the 21΅γΛγΕΖΉ«Κ½βs Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing practices, promoting collaboration among central banks and supervisory authorities and addressing challenges in the evolving financial landscape. The paper discusses the development and application of various stress-testing models, including top-down models, macro-micro models and system-wide models. It highlights the integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and policy evaluation and in communication. The collaborative efforts of the WGST have demystified stress-testing methodologies and fostered trust among stakeholders. The paper concludes by outlining the future agenda for continued improvements in stress-testing practices.
- JEL Code
- G21 : Financial EconomicsβFinancial Institutions and ServicesβBanks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial EconomicsβFinancial Institutions and ServicesβGovernment Policy and Regulation
C58 : Mathematical and Quantitative MethodsβEconometric ModelingβFinancial Econometrics
G01 : Financial EconomicsβGeneralβFinancial Crises
G18 : Financial EconomicsβGeneral Financial MarketsβGovernment Policy and Regulation
- 2 December 2021
- WORKING PAPER SERIES - No. 2620Details
- Abstract
- This paper investigates how the monetary policy transmission channels change once the economy is in a low interest rate environment. We estimate a nonlinear model for the euro area and its five largest countries over the period 1999q2-2019q1 and allow for the effects of monetary policy shocks to be state dependent. Using smooth transition local projections, we examine the impulse responses of investment, savings, consumption, and the output gap to an expansionary monetary policy shock under normal and low interest rate regimes. We find evidence for a macroeconomic reversal rate related to the substitution effects becoming weaker relative to the income effects in a low interest rate regime. In this regime the effects of monetary policy shocks are either less powerful or reverse sign compared with a normal rate regime.
- JEL Code
- E21 : Macroeconomics and Monetary EconomicsβConsumption, Saving, Production, Investment, Labor Markets, and Informal EconomyβConsumption, Saving, Wealth
E22 : Macroeconomics and Monetary EconomicsβConsumption, Saving, Production, Investment, Labor Markets, and Informal EconomyβCapital, Investment, Capacity
E43 : Macroeconomics and Monetary EconomicsβMoney and Interest RatesβInterest Rates: Determination, Term Structure, and Effects
E52 : Macroeconomics and Monetary EconomicsβMonetary Policy, Central Banking, and the Supply of Money and CreditβMonetary Policy