Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

80 Pages Posted: 16 Oct 2018

See all articles by Ronald W. Anderson

Ronald W. Anderson

London School of Economics & Political Science - Department of Finance; Centre for Economic Policy Research (CEPR)

Jon Danielsson

London School of Economics - Systemic Risk Centre

Chikako Baba

International Monetary Fund (IMF)

Udaibir Das

International Monetary Fund (IMF)

Miguel Segoviano Basurto

International Monetary Fund (IMF) - Monetary and Financial Systems Department

Heedon Kang

International Monetary Fund (IMF)

Date Written: September 2018

Abstract

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisispolicy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative,forward-looking assessments of the resilience of financial systems as a whole, to particularlyadverse shocks. Therefore, they are well suited to support the surveillance of macrofinancialvulnerabilities and to inform the use of macroprudential policy-instruments. This reportsummarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre,which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling andimplementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussingthe potential uses of MaPST to support policy.

Keywords: Financial crises, Systemic risk, Macroprudential Policy, Financial stability, Stress testing, Macroprudential Stress testing, Asset Pricing, Financial Markets and the Macroeconomy, Bayesian Analysis, Semiparametric and Nonparametric Methods, Cross-Sectional Models, Model Evaluation and Testing, Financial Econometrics

JEL Classification: G01, G12, E44, C11, C14, C15, C31, C52, C58, C61

Suggested Citation

Anderson, Ronald W. and Danielsson, Jon and Baba, Chikako and Das, Udaibir and Segoviano Basurto, Miguel and Kang, Heedon, Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks (September 2018). IMF Working Paper No. 18/197, Available at SSRN: https://ssrn.com/abstract=3267224

Ronald W. Anderson (Contact Author)

London School of Economics & Political Science - Department of Finance ( email )

Houghton Street
London WC2A 2AE
United Kingdom
+44 20 7955 6204 (Phone)
+44 20 7955 7420 (Fax)

HOME PAGE: http://personal.lse.ac.uk/ANDERSOR/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Jon Danielsson

London School of Economics - Systemic Risk Centre ( email )

Houghton Street
London WC2A 2AE
United Kingdom
+44.207.955.6056 (Phone)

HOME PAGE: http://www.riskreasearch.org

Chikako Baba

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Udaibir Das

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Miguel Segoviano Basurto

International Monetary Fund (IMF) - Monetary and Financial Systems Department ( email )

Washington, DC
United States

Heedon Kang

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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