Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
Hostname: page-component-cd9895bd7-gvvz8 Total loading time: 0 Render date: 2025-01-03T11:02:16.540Z Has data issue: false hasContentIssue false

10 - Macroprudential Tools of Systemic Risk Analysis

Published online by Cambridge University Press:  09 August 2018

By
Marcin Łupiński
Edited by
Paul Mizen ,
Margarita Rubio  and
Philip Turner
Paul Mizen
Affiliation:
University of Nottingham
Margarita Rubio
Affiliation:
University of Nottingham
Philip Turner
Affiliation:
Universität Basel, Switzerland
Get access

Summary

This chapter is aimed at presenting tools of systemic risk analysis used as a part of stress testing framework and their application to address systemic risk questions facing macroprudential policy decision makers with special attentions to problems present in the Polish banking sector. In the first part of the paper alternative definitions of the systemic risk are described. Then alternative tools of systemic risk measurement and analysis are presented. The reference network model is integrated with stress testing framework to empirically evaluate impact of the systemic risk on the Polish banking sector. Gained results of the research show that, in general, banks operating in Poland are immune to endogenous and exogenous sources of systemic risk and this type of risk is not a source of instability for the domestic banking sector. However some shocks emerging (inter alia) from the structure of the Polish banks’ capital ownership and characteristics of the mortgage credit portfolio should be carefully monitored in the future.

Type
Chapter
Information
Macroprudential Policy and Practice , pp. 225 - 247
Publisher: Cambridge University Press
Print publication year: 2018

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Acharya, V., Pedersen, L., Philippon, T. and Richardson, M. (2010). ‘Measuring systemic risk’, New York University Working Paper.Google Scholar
Adrian, T. and Brunnermeier, M. (2011). ‘CoVaR’, NBER Working Paper, no. 17454.Google Scholar
Allen, F. and Babus, A. (2009). ‘Networks in finance’. In Kleindorfer, P., Wind, Y. and Gunther, R. (Eds.) The Network Challenge: Strategy, Profit, and Risk in an Interlinked World, Upper Saddle River, NJ: Pearson Prentice Hall.Google Scholar
Allen, F. and Gale, D. (2000). ‘Financial contagion’, Journal of Political Economy vol 108, no 1, 1–33.Google Scholar
BIS 1994. Yearly Report. BaselGoogle Scholar
Bordo, M. D., Mizrach, B., Schwartz, A. J. (1995). ‘Real versus pseudo-international systemic risk: Lessons from history’, NBER Working Paper, no 5371.Google Scholar
Borio, C. and Drehmann, M. (2009). ‘Towards and operational framework for financial stability: “Fuzzy” measurement and its consequence’, BIS Working Paper, no 284.Google Scholar
Borio, C. and Lowe, P. (2004). ‘Securing sustainable price stability: Should credit come back from the wilderness?’, BIS Working Paper, no 157.Google Scholar
Chan-Lau, J. (2009). ‘Co-risk measures to assess systemic financial linkages’, IMF Working Paper.Google Scholar
Chen, Y. (1999). ‘Banking panics: The role of the first-come, first-served rule and information externalities’, Journal of Political Economy, vol 107, no 5, 946–968.Google Scholar
Drehmann, M. and Tarashev, N. (2011). ‘Measuring the systemic importance of interconnected banks’, BIS Working Papers, no 342.Google Scholar
Eboli, M. (2004). Systemic Risk in Financial Networks: A Graph Theoretic Approach, Mimeo, Universita di Chieti, Pescara.Google Scholar
Eisenberg, L. and Noe, T. (2001). ‘Systemic risk in financial systems’, Management Science, vol 47, no 2, 236–249.Google Scholar
Freixas, X., Parigi, B., Rochet, J. C. (2000). ‘Systemic risk, interbank relations and liquidity provision by the central bank’, Journal of Money, Credit, and Banking, vol 3, no 3/2, 611–640.Google Scholar
FSB and IMF (2011). ‘The financial crisis and information gaps: Implementation’, Progress Report.Google Scholar
Gai, P. and Kapadia, S. (2010). ‘Contagion in financial networks’, Bank of England Working Paper, no 383.Google Scholar
Gray, D. and Jobst, A. (2010). ‘Systemic CCA: A model approach to systemic risk’, IMF Working Paper.Google Scholar
Gorton, G. 1988. ‘Banking panics and business cycles’, Oxford Economic Papers, no 40.Google Scholar
Haldane, A. G. 2009. Rethinking the Financial Network, public speechGoogle Scholar
Hale, G. 2011. ‘Bank relationships, business cycles, and financial crises’, Federal Reserve Bank of San Francisco Working Paper, no 2011–14.Google Scholar
Huang, X., Zhou, H., Zhu, H. (2009). ‘A framework for assessing the systemic risk of major financial institutions’, University of Oklahoma Working Paper.Google Scholar
IMF (2009). ‘Responding to the financial crisis and measuring systemic risks’, Global Financial Stability Report.Google Scholar
IMF (2011). ‘Towards operationalizing macroprudential policy—When to act?’, Global Financial Stability Report.Google Scholar
Kodres, L. E. and Pritsker, M. (1999). ‘Rational expectations model of financial contagion’, Joint IMF and Federal Reserve Board Report.Google Scholar
Kyle, A. S. and Xiong, W. (2000). ‘Contagion as a wealth effect’, CFSC Paper presented on June 2000 at Rethinking Risk Management Conference in Frankfurt am Main.Google Scholar
Lindgren, C. J., Garcia, G., Saal, M. I. (1996). ‘Bank soundness and macroeconomic policy’, IMF Report.Google Scholar
Lucas, D. (2011). ‘Evaluating the government as a source of systemic risk’, Proceedings to Conference on Systemic Risk and Data Issues, University of Maryland.Google Scholar
Minoiu, C. and Ryes, J. (2011). A network analysis of global banking: 1978–2010, IMF Working PaperGoogle Scholar
Mishkin, F. S. (1997). ‘The causes and propagation of financial instability: Lessons for policy makers, Maintaining financial stability in a global economy’, Federal Reserve Bank of Kansas City.Google Scholar
Sheldon, G. and Maurer, M. (1998). ‘Interbank lending and systemic risk: An empirical analysis of Switzerland’, Swiss Journal of Economics and Statistics, vol 134, 685–704.Google Scholar
Upper, C. and Worms, A. (2004). ‘Estimating bilateral exposures in the German interbank market: is there a danger of contagion?’, European Economic Review, vol 48, 827–849.Google Scholar
Wells, S. (2002). ‘UK Interbank Exposures: Systemic Risk Implications’, Bank of England Financial Stability Review, no 13, 175–181. Available at https://www.bankofengland.co.uk/-/media/boe/files/financial-stability-report/2002/december-2002.pdfGoogle Scholar

Save book to Kindle

To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

Available formats
×