Macro-prudential policies to contain the effect of structural risks on financial downturns

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10253465" target="_blank" >RIV/61989100:27510/23:10253465 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/49777513:23510/23:43969639

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0161893823000959?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0161893823000959?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jpolmod.2023.08.001" target="_blank" >10.1016/j.jpolmod.2023.08.001</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Macro-prudential policies to contain the effect of structural risks on financial downturns

Popis výsledku v původním jazyce

We investigate the extent to which various structural risks exacerbate the materialization of credit risk and affect financial cycle downturns. We use a large database covering all sorts of cyclical and structural features of the financial sector and the real economy for a panel of 30 countries over the period 2006Q1-2019Q4. We show that elevated levels of structural risks may have an important role in explaining the severity of credit risk materialization during financial cycle contractions. Among these risks, private and public sector indebtedness, banking sector resilience and concentration of real estate exposures stand out. Moreover, we show that the elevated levels of some of the structural risks identified may be related to long-standing accommodative economic policy. Our evidence implies a stronger role for macroprudential policy, especially in countries with higher levels of structural risks. (C) 2023 The Society for Policy Modeling

Název v anglickém jazyce

Macro-prudential policies to contain the effect of structural risks on financial downturns

Popis výsledku anglicky

We investigate the extent to which various structural risks exacerbate the materialization of credit risk and affect financial cycle downturns. We use a large database covering all sorts of cyclical and structural features of the financial sector and the real economy for a panel of 30 countries over the period 2006Q1-2019Q4. We show that elevated levels of structural risks may have an important role in explaining the severity of credit risk materialization during financial cycle contractions. Among these risks, private and public sector indebtedness, banking sector resilience and concentration of real estate exposures stand out. Moreover, we show that the elevated levels of some of the structural risks identified may be related to long-standing accommodative economic policy. Our evidence implies a stronger role for macroprudential policy, especially in countries with higher levels of structural risks. (C) 2023 The Society for Policy Modeling

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Policy Modeling

ISSN

0161-8938

e-ISSN

1873-8060

Svazek periodika

45

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

18

Strana od-do

1204-1222

Kód UT WoS článku

001125253700001

EID výsledku v databázi Scopus

2-s2.0-85171352082