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Early warning FAVAR model for the assessment of the effects of macroprudential policy on risks in the banking sector [Elektronski vir]Özsahin, SelcukThis paper presents a model that combines a logistic-based early warning model with the factor-augmented vector autoregression (FAVAR) methodology to simulate and assess the effects of capital-based ... macroprudential policy on the risks in the banking sector at the sector- and individual-bank level. Using the integrated Early Warning FAVAR (EW-FAVAR) model developed in this paper, I show that a countercyclical implementation of the capital requirements prior to the 2008 global financial crisis, by introducing stringent requirements early in the build-up phase and an easing as the crisis unfolded, would significantly reduce the risks in the banking sector in Slovenia in this period. I contrast the effectiveness of the prudential policy using different signalling horizons and show that a late intervention by means of a tightening, in the face of material risks, risks pro-cyclical effects.Type of material - e-bookPublication and manufacture - Ljubljana : Banka Slovenije, 2021Language - englishISBN - 978-961-6960-55-7COBISS.SI-ID - 86321923
Author
Özsahin, Selcuk
Topics
Bančno poslovanje |
Tveganje |
Preprečevanje |
makrobonitetna politika |
bančništvo |
opozorila
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