Abstract One of the focuses recent literature has been macroeconomic effects macroprudential policy instruments. The innovation this paper is that it studies transparent macro-prudential policies on price stability. results presented herein provide first empirical evidence transparency can aid to achieve stable inflation in emerging and developing countries. effect necessarily transmitted throu...

This paper defines systemic risk as the conditional probability of failure of a large number of financial institutions, and develops maximum likelihood estimators of the term structure of systemic risk in the U.S. financial sector. The estimators are based on a new dynamic hazard model of failure timing that captures the influence of time-varying macro-economic and sector-specific risk factors ...

Value at Risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999), VaR may not possess the subadditivity property required to be a coherent measure of risk. The key idea of this paper is that, when tail thickness is responsible for violation of subadditivity, eliciting proper conditioning information may restore VaR rationale for decentralized risk management. Th...

Lack of coordination for prudential regulation hurts developing economies but benefits advanced economies. We consider a two-country macro model in which countries have limited ability to issue state-contingent contracts international markets, and equilibrium is constrained inefficient. Both incentives stabilize their economy by using limits, the emerging depends on bear global risk. Intermedia...

Using a sample covering 50 advanced and emerging economies over 1990–2017, it is found that large current account deficits are followed by systematic negative surprises in economic growth. This regularity verified both the case of economies. In addition, reversed significantly faster than what forecasters anticipate low asset returns drops sentiment. The findings robust to changes specification...

Abstract This paper studies the optimal design of a macro-prudential instrument, loan-to-value (LTV) limit, and its implications for monetary policy in model with nominal rigidities financial frictions. The analysis accounts both an effective lower bound on interest rate upper ability LTV limits to stimulate credit demand. welfare-based loss function features role enhance risk-sharing. Optimal ...

The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs are thought to have played a central role in the 2008 financial crisis. This paper lays out a quantitative general equilibrium macro framework in which this interaction drives the financial amplification mechanism and studies its implications for the design of macroprudential poli...

Purpose: This study examines the nexus between bank governance, asset quality, and banking risk measured by distance to default (DTD) their interactions with prudential policy macroeconomic factors. Theoretical framework: uses Resource Based View (RBV) lens examine how banks use unique resources, asset, competencies, governance framework mitigate adverse impact of risks navigate regulatory poli...