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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, Selcuk
    This 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.
    Vrsta gradiva - e-knjiga
    Založništvo in izdelava - Ljubljana : Banka Slovenije, 2021
    Jezik - angleški
    ISBN - 978-961-6960-55-7
    COBISS.SI-ID - 86321923

    Povezava(-e):

    https://www.bsi.si/publikacije/raziskave-in-analize
    Digitalna knjižnica Slovenije - dLib.si

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