Macroprudential policy and financial system stability: an aggregate study

被引：0
作者：
Hamdi Jbir
Cornel Oros
Alexandra Popescu
机构：
[1] University of Poitiers,LéP (Laboratoire d’économie de Poitiers)
[2] University of Orléans,LÉO (Laboratoire d’Économie d’Orléans)
来源：
Empirical Economics | 2024年 / 66卷
关键词：
Macroprudential policy; Financial stability; Panel data; Systemic risk; C23; E61; G18; G21; G23;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper investigates the impact of macroprudential policy announcements on financial stability in Europe. Our three financial (in)stability proxies are systemic risk measures that cover all types of financial institutions and consider various financial market segments. We find that the announcements of macroprudential policy actions only contain banking systemic risk with the latter computed based on market data. However, when measuring systemic risk by including both market and balance sheet data, we observe an increase in the systemic risk of all financial institutions, banks and non-banks. This last result is confirmed when considering non-diversifiable risk across financial market segments.
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页码：1941 / 1973
页数：32
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