IMF-宏观审慎压力测试模型综述(英)-2023.8-50页.pdf

2023-09-08 21:11
IMF-宏观审慎压力测试模型综述(英)-2023.8-50页.pdf

MacroprudentialStress-TestModels:ASurveyDavidAikman,DanielBeale,AdamBrinley-Codd,GiovanniCovi,Anne-CarolineHüserandCaterinaLeporeWP/YY/173IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2023AUG*TheauthorswouldliketothankStephenBurgess,JackMcKeown,NicolaAnderson,SudiptoKarmakar,SarahVenables,KishoreKamath,NickVause,HirokoOura,MarcoGrossforhelpfulcommentsandsuggestions.ThispapershouldnotbereportedasrepresentingtheviewsoftheBankofEngland(BoE).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheBoE.©2023InternationalMonetaryFundWP/23/173IMFWorkingPaperMonetaryandCapitalMarketsDepartmentMacroprudentialStress-TestModels:ASurveyPreparedbyDavidAikman,DanielBeale,AdamBrinley-Codd,GiovanniCovi,Anne-CarolineHüserandCaterinaLepore*AuthorizedfordistributionbyHirokoOuraAugust2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Inthispaper,wesurveytherapidlydevelopingliteratureonmacroprudentialstress-testingmodels.Thescopeofthesurveyincludesmodelsofcontagionbetweenbanks,modelsofcontagionwithinthewiderfinancialsystemincludingnon-bankfinancialinstitutionssuchasinvestmentfunds,andmodelsthatemphasisethetwo-wayinteractionbetweenthefinancialsectorandtherealeconomy.Ouraimistwo-fold:first,toprovideareferenceguideofthestate-of-the-artforthosedevelopingsuchmodels;second,todistilinsightsfromthisendeavourforpolicy-makersusingthesemodels.Inourview,themodellingfrontierfacesthreemainchallenges:(a)ourunderstandingofthepotentialforamplificationinsectorsofthenon-bankfinancialsystemduringperiodsofstress,(b)multi-sectoralmodelsofthenon-bankfinancialsystemtoanalysethebehaviouroftheoveralldemandandsupplyofliquidityunderstressand(c)stresstestingmodelsthatincorporatecomprehensivetwo-wayinteractionsbetweenthefinancialsystemandtherealeconomy.Emerginglessonsforpolicy-makersarethat,foragiven-sizedshockhittingthesystem,itseventualimpactwilldependon(a)thesizeoffinancialinstitutions'capitalandliquiditybuffers,(b)theliquidationstrategiesfinancialinstitutionsadoptwhentheyneedtoraisecash,and(c)thetopologyofthefinancialnetwork.JELClassificationNumbers:G21,G22,G23,G32Keywords:Stresstesting;system-widemodels;contagion;systemicrisk;market-basedfinance;real-financiallinkages;macro-prudentialpolicy.Author’sE-MailAddress:CLepore@imf.orgContents1Introduction32Abriefprimeroncontagionchannels43Contagioninthebankingsector53.1Directcontagionviathesolvencychannel.63.2Directcontagionviathefunding-liquiditychannel...83.3Indirectcontagionviathemarket-liquiditychannel..93.4Contagioninvolvingcollateral..113.5Interactionofdirectandindirectcontagion124Contagioninthenon-bank nancialsystem144.1Over

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