Public Sector Economics

462
Views



60
Downloads

Macroprudential policy stance assessment: the case of Croatia



Tihana Škrinjarić*
Article   |   Year:  2024   |   Pages:  421 - 463   |   Volume:  48   |   Issue:  4
Received:  April 9, 2024   |   Accepted:   July 10, 2024   |   Published online:  December 13, 2024
Download citation        https://doi.org/10.3326/pse.48.4.3       


  1. Acemoglu, D., Ozdaglar, A. and Tahbaz-Salehi, A., 2015. Microeconomic origins of macroeconomic tail risks. NBER Working Paper, No. 20865 [CrossRef]

  2. Adams, P. A. [et al.], 2020. Forecasting Macroeconomic Risks. FRBNY Staff Reports, No. 914 [CrossRef]

  3. Adrian, T., Boyarchenko, N. and Giannone, D., 2016. Vulnerable growth. FRBNY Staff Report, No. 794.

  4. Adrian, T., Boyarchenko, N. and Giannone, D., 2019. Vulnerable growth. American Economic Review, 109(4), pp. 1263-1289 [CrossRef]

  5. Aikman, D. [et al.], 2018. Measuring risks to UK financial stability. BoE Staff Working Paper, No. 738.

  6. Aikman, D. [et al.], 2019a. Credit, capital and crisis: a GDP-at-risk approach. Staff Working Paper, No. 824.


  7. Akinci, O. and Olmstead-Rumsey, J., 2015. How Effective are Macroprudential Policies? An Empirical Investigation. International Finance Discussion Papers, No. 1136 [CrossRef]

  8. Akinci, O. and Olmstead-Rumsey, J., 2018. How effective are macroprudential policies? An empirical investigation. Journal of Financial Intermediation, 33, pp. 33-57 [CrossRef]

  9. Alam, Z. [et al.], 2019. Digging Deeper – Evidence on the Effects of Macroprudential Policies from a New Database. IMF Working Paper, No. 2019/066

  10. Alessandri, P. and Di Cesare, A., 2021. Growth-at-risk in Italy during the covid-19 pandemic. Notes on Financial Stability and Supervision, No. 24.

  11. Ampudia, M. [et al.], 2021. On the effectiveness of macroprudential policy. ECB Discussion Paper, No. 2559 [CrossRef]

  12. Arslan, Y. and Upper, C., 2017. Macroprudential frameworks: implementation and effectiveness. BIS Papers, No. 94.

  13. Azzalini, A. and Capitanio, A., 2003. Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew t-Distribution. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 65(2), pp. 367-389 [CrossRef]

  14. Bambulović, M. and Valdec, M., 2020. Testing the characteristics of macroprudential policies’ differential impact on foreign and domestic banks’ lending in Croatia. Public Sector Economics, 44(2), pp. 221-249 [CrossRef]

  15. Banco de España, 2021. How do central banks identify risks? A survey of indicators. Documentos Ocasionales, No. 2125.

  16. Bank of Japan, 2018. Financial Stability Review. Tokio: Bank of Japan.

  17. Bank of Lithuania, 2019. Financial Stability ReviewVilnius: Bank of Lithuania.

  18. Banque centrale du Luxembourg, 2022. Financial Stability Review. Luxembourg: Banque centrale du Luxembourg.

  19. Bayoumi, T., Quayyum, S. and Das, S., 2021. Growth at Risk from Natural Disasters. IMF Working Paper, No. 2021/234

  20. Blanchard, O., 2016. Do DSGE models have a future? Peterson Institute for International Economics Policy Brief, PG 16-11. 

  21. BoE, 2021. How do we monitor UK financial system? Bank of England, 23 April 2021. London: Bank of England.

  22. Boyarchenko, N., Favara, G. and Schularick, M., 2022. Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges. FRB of New York Staff Report, No. 1003. 

  23. Brandao-Marques, L. [et al.], 2020. Leaning Against the Wind: A Cost-Benefit Analysis for an Integrated Policy Framework. IMF Working Paper, WP/20/123 [CrossRef]

  24. Brownlees, C. and Souza, A. B. M., 2021. Backtesting global Growth-at-Risk. Journal of Monetary Economics, 118, pp. 312-330 [CrossRef]

  25. Buch, C. M., Vogel, E. and Weigert, B., 2018. Evaluating macroprudential policies. Working Paper Series, No 76 [CrossRef]

  26. Budnik, K. [et al.], 2021. The growth-at-risk perspective on the systemwide impact of Basel III finalisation in the euro area. ECB Occasional Paper Series, No 258 [CrossRef]

  27. Budnik, K. and Kleibl, J., 2018. Macroprudential regulation in the European Union in 1995-2014: introducing a new data set on policy actions of a macroprudential nature. ECB Working Paper Series, No. 2123 [CrossRef]

  28. Carstens, A., 2021. The role of macroprudential policies during economic crises. Speech by Agustín Carstens, General Manager, Bank for International Settlements, at the 45th regular session of the Council of Arab Central Banks and Monetary Authorities' Governors, Abu Dhabi, 19 September 2021.

  29. Cecchetti, S. and Suarez, J., 2021. On the stance of macroprudential policy. Reports of the Advisory Scientific Committee. ESRB: Advisory Scientific Committee Reports, 2021/11 [CrossRef]

  30. Ćehajić, A. and Košak, M., 2021. Tightening and Loosening of Macroprudential Policy, Its Effects on Credit Growth and Implications for the COVID-19 Crisis. Economic and Business Review, 23(4), pp. 207-233 [CrossRef]

  31. Central Bank of Ireland, 2022. Financial Stability Review I and IIDublin: Central Bank of Ireland

  32. Cerutti, E. Claessens, S. and Laeven, L., 2015. Database. Washington: International Monetary Fund. 

  33. Cerutti, E., Claessens, S. and Laeven, L., 2017. The use and effectiveness of macroprudential policies: New evidence. Journal of Financial Stability, 28(c), pp. 203-224 [CrossRef]

  34. Chavleishvili, S. and Kremer, M., 2023. Measuring systemic financial stress and its risks for growth. ECB Working Paper Series, No. 2842 [CrossRef]

  35. Chavleishvili, S. and Manganelli, S., 2020. Forecasting and stress testing with quantile vector autoregression. ECB Working Paper Series, No. 2330 [CrossRef]

  36. Christiano, L. J., Eichenbaum, M. and Evans, C. L., 1999. Chapter 2 Monetary policy shocks: What have we learned and to what end? In: Handbook of Macroeconomics, Vol. 1, Part A, pp. 65-148 [CrossRef]

  37. Claessens, S., 2014. An Overview of Macroprudential Policy Tools. IMF working paper, No. WP/14/24 [CrossRef]

  38. Claessens, S., Kose, M. A. and Terrones, M., 2012. How do Business and Financial Cycles Interact? Journal of International Economics, 87(1), pp. 178-90 [CrossRef]

  39. CNB, 2023. Internal database of HIFS – Croatian index of financial stress. Zagreb: Croatian National Bank.

  40. CNB, 2023. Online database Croatian National Bank. Zagreb: Croatian National Bank.

  41. Cucic, D. [et al.], 2022. Evaluating the macroprudential stance in a growth-at-risk framework. Economic Memo, No. 14.

  42. Ćehajić, A. and Košak, M., 2019. Tightening and loosening of macroprudential policy, its effects on credit growth and implications for the COVID-19 Crisis. Economic and Business Review, 23(4), pp. 207-233 [CrossRef]

  43. Davino, C., Furno, M. and Vistocco, D., 2013. Quantile regression: theory and applications. New York: John Wiley & Sons [CrossRef]

  44. De Schryder, S. and Opitz, F., 2019. Macroprudential policy and its impact on the credit cycle. Ghent University, Department of Economics, Working Paper, 2019/990.

  45. De Schryder, S., Opitz, F., 2021. Macroprudential policy and its impact on the credit cycle. Journal of Financial Stability, 53, 100818 [CrossRef]

  46. Deghi, A. [et al.], 2020. Predicting Downside Risks to House Prices and Macro-Financial Stability. IMF Working Paper, WP/20/11 [CrossRef]

  47. Deutsche Bundesbank, 2018. Financial Stability ReviewDeutsche Bundesbank.

  48. Deutsche Bundesbank, 2021. Macroprudential policy and growth-at-risk. Monthly Report, July 2021, pp. 65-83.

  49. Drenkovska, M. and Volčjak, R., 2022. Growth-at-risk and Financial Stability: Concept and Application for Slovenia. Discussion Papers, No. 5.

  50. Duprey, T. and Ueberfeldt, A., 2018. How to Manage Macroeconomic and Financial Stability Risks: A New Framework. Staff Analytical Note, 2018-11.

  51. Duprey, T. and Ueberfeldt, A., 2020. Managing GDP tail risk. Bank of Canada Working Paper, No. 2020-03.

  52. ECB, 2010. New quantitative measures of systemic risk. IV special features. Financial Stability Review, December 2010, pp. 147-153. Frankfurt am Main: European Central Bank.

  53. ECB, 2018. MacroPrudential Policies Evaluation Database. Frankfurt am Main: European Central Bank.

  54. ECB, 2019. Financial Stability Report. European Central Bank. Frankfurt am Main: European Central Bank.

  55. ECB, 2023. CLIFS data for Croatia. Frankfurt am Main: European Central Bank.

  56. Eguren-Martin, F. [et al.], 2021. Capital Flows-at-Risk: Push, Pull and the Role of Policy. ECB Working Paper, No. 2021/2538 [CrossRef]


  57. ESRB, 2019. Features of a macroprudential stance: initial considerations. Frankfurt am Main: European Systemic Risk Board.


  58. Fernandez-Gallardo, A. and Paya, I., 2020. Macroprudential Policy in the Euro Area. Economic Working Paper Series, No. 2020/020

  59. Ferrara, L., Mogliani, M. and Sahuc, J-G., 2022. High-frequency monitoring of growth at risk. International Journal of Forecasting, 38(2), pp. 582-595 [CrossRef]

  60. Flament, G., Hurlin, C. and Lajaunie, Q., 2023. The at-Risk approach: a new tool for stress tests and overlays [CrossRef]

  61. Franta, M. and Gambacorta, L., 2020. On the effects of macroprudential policies on Growth at Risk. Economics Letters, 196, 109501 [CrossRef]

  62. Gächter, M., Geiger, M. and Hasler, E., 2022. On the structural determinants of growth-at-risk. eeecon Working Papers in Economics and Statistics, No. 2022-06.

  63. Galán, J. E. and Rodríguez-Moreno, M., 2020. At-risk measures and financial stability. Revista de Estabilidad Financiera, (39), pp. 69-96.

  64. Galán, J. E., 2020a. The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk. Documentos de Trabajo, No. 2007 [CrossRef]

  65. Galán, J. E., 2020b. The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk. Journal of Financial Stability, 100831 [CrossRef]

  66. Garcia Revelo, J. D., Lucotte, Y. and Pradines-Jobet, F., 2020. Macroprudential and monetary policies: The need to dance the Tango in harmony. Journal of International Money and Finance, 108, pp. 102-156 [CrossRef]

  67. Gelos, G. [et al.], 2022. Capital flows at risk: taming the ebbs and flows. Journal of International Economics, 134, 103555 [CrossRef]

  68. Giglio, S., Kelly, B. and Pruitt, S., 2015. Systemic risk and the macroeconomy: An empirical evaluation. NBER working paper, No. 20963 [CrossRef]

  69. Giglio, S., Kelly, B. and Pruitt, S., 2016. Systemic risk and the macroeconomy: An empirical evaluation. Journal of Financial Economics, 119(3), pp. 457-471 [CrossRef]

  70. Holló, D., Kremer, M. and Lo Duca, M., 2012. CISS – A Composite Indicator of Systemic Stress in the Financial System. ECB Working Paper Series, No. 1426 [CrossRef]

  71. IMF, 2017. Global Financial Stability ReportWashington: International Monetary Fund.

  72. IMF, 2020. Stress Testing at the IMF. Washington: International Monetary Fund.

  73. IMF, 2022. Chapter 1 - Financial Stability in the New High-Inflation Environment. In: IMF Global Financial Stability Report. Washington: International Monetary Fund.

  74. IMF, 2022. Integrated Macroprudential Policy (iMaPP) Database. Washington: International Monetary Fund.

  75. IMF, 2022. The Macroprudential Policy SurveyWashington: International Monetary Fund.

  76. Jordá, O., 2023. Local Projections for Applied Economics. Federal Reserve Bank of San Francisco Working Paper, No. 2023-16 [CrossRef]

  77. Jordá, O., Schularick, M. and Taylor, A. M., 2012. When Credit Bites Back: Leverage, Business Cycles, and Crises. NBER Working Paper, No. 2011-27 [CrossRef]

  78. Jordá, O., Schularick, M. and Taylor, A. M., 2013. When Credit Bites Back. Journal of Money, Credit and Banking, 45(s2), pp. 3-28 [CrossRef]

  79. Kannan, P., Scott, A. and Terrones, M. E., 2013. From Recession to Recovery: How Soon and How Strong. In: S. Claessens [et al.], eds. Financial Crises, Consequences, and Policy Responses, pp. 239-274.

  80. Kiley, M. T., 2021. Growth at Risk from Climate Change (August, 2021). FEDS Working Paper, No. 2021-54 [CrossRef]

  81. Koenker, R. W. and Bassett, G., 1978. Regression Quantiles. Econometrica, 46(1), pp. 33-50 [CrossRef]

  82. Koenker, R., 2005. Quantile regression. Cambridge: Cambridge University Press [CrossRef]

  83. Koh, W. C. [et al.], 2020. Debt and Financial Crisis. Policy Research Working Paper, No. 9116 [CrossRef]

  84. Kraft, E. and Galac, T., 2011. Macroprudential Regulation of Credit Booms and Busts, The Case of Croatia. Policy Research Working Paper, No. 5772 [CrossRef]

  85. Kupiec, P., 1995. Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives, 2, pp. 173-184 [CrossRef]

  86. Laeven, L. and Valencia, F., 2012. Systemic Banking Crises Database: An Update. IMF Working Paper, No. WP/12/163 [CrossRef]

  87. Laeven, L. and Valencia, F., 2013. Systemic Banking Crises Database. IMF Economic Review, 61, pp. 225-270 [CrossRef]

  88. Lang, J. H. [et al.], 2019. Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises. Occasional Paper Series, No 219 [CrossRef]

  89. Lang, J. H. and Forletta, M., 2019. Bank capital-at-risk: measuring the impact of cyclical systemic risk on future bank losses. ECB Macroprudential Bulletin, 9.

  90. Lang, J. H. and Forletta, M., 2020. Cyclical systemic risk and downside risks to bank profitability. ECB Working Paper Series, No. 2405 [CrossRef]

  91. Lim, C. [et al.], 2011. Macroprudential Policy: What Instruments and How to Use Them? IMF working paper, No. WP/11/238 [CrossRef]

  92. Lloyd, S., Manuel, E. and Panchev, K., 2022. Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk. BoE Staff Working Paper, No. 940 [CrossRef]

  93. López-Salido, D. and Loria F., 2021. Inflation at Risk. FEDS Working Paper, No. 2020-013 [CrossRef]

  94. Lucas, R. E., 1972. Expectations and the Neutrality of Money. Journal of Economic Theory, 4(2), pp. 103-124 [CrossRef]

  95. McCallum, B. T., 1999. Analysis of the Monetary Transmission Mechanism: Methodological Issues. NBER Working Paper, No. 7395 [CrossRef]

  96. McCracken, M. W. and Ng, S., 2016. FRED-MD: A Monthly Database for Macroeconomic Research. Journal of Business and Economic Statistic, 34(4), pp. 574- 89 [CrossRef]

  97. Meuleman, E. and Vander Vennet, R., 2020. Macroprudential policy and bank systemic risk. Working Papers of Faculty of Economics and Business Administration, No. 19-971 [CrossRef]

  98. Mitchell, J., Poon, A. and Zhu, D., 2021. Multimodality in Macroeconomic Dynamics: Constructing Density Forecasts from Quantile Regressions. Working paper.

  99. O'Brien, M. and Wosser, M., 2021. Growth at Risk & Financial Stability. Financial stability notes, 2021(2).

  100. O'Brien, M. nad Wosser, M., 2022. Assessing Structure-Related Systemic Risk in Advanced Economies. Research Technical Paper, 2022(3).

  101. Ossandon Busch, M. [et al.], 2022. Growth at risk: Methodology and applications in an open-source platform. Latin American Journal of Central Banking, 3(3), 100068 [CrossRef]

  102. Papell, D. H. and Prudan, R., 2011. The Statistical Behavior of GDP after Financial Crises and Severe Recessions. Paper prepared for the Federal Reserve Bank of Boston conference on “Long-Term Effects of the Great Recession”, October 18-19 [CrossRef]

  103. Plagborg-Møller, M. [et al.], 2020. When is Growth at Risk? Brookings Papers on Economic Activity, 2020(1), pp. 167-229 [CrossRef]

  104. Portes, R. [et al.], 2020. The global dimensions of macroprudential policy. ESRB: Advisory Scientific Committee Reports, 2020/10 [CrossRef]

  105. Prasad, A. [et al.], 2019. Growth at Risk: Concept and Application in IMF Country Surveillance. IMF Working Paper, No. 36 [CrossRef]

  106. Ramey, V. A., 2016. Chapter 2 - Macroeconomic Shocks and Their Propagation. In: Handbook of Macroeconomics, Vol. 2, pp 71-162 [CrossRef]

  107. Reichlin, L., Ricco, G. and Hasenzagl, T., 2020. Financial variables as predictors of real growth vulnerability. Discussion Papers, 05/2020 [CrossRef]

  108. Reinhart, C. M. and Rogoff, K. S., 2009. This Time is Different: Eight Centuries of Financial Folly. Princeton Press.

  109. Richter, B., Schularik, M. and Shim, I., 2018. The costs of macroprudential policy. NBER Working paper, No. 24989 [CrossRef]

  110. Richter, B., Schularik, M. and Shim, I., 2019. The costs of macroprudential policy. Journal of International Economics, 118, pp. 263-282 [CrossRef]

  111. Sánchez, A. C. and Röhn, O., 2016. How do Policies Influence GDP Tail Risks? OECD Economics Department Working Papers, No. 1339.

  112. Škrinjarić, T. and Bukovšak, M., 2022. New Indicators of Credit Gap in Croatia: Improving the Calibration of the Countercyclical Capital Buffer. CNB Working Papers, No. W-69<

  113. Škrinjarić, T., 2022a. Introduction of the composite indicator of cyclical systemic risk in Croatia: possibilities and limitations. CNB Working Papers, No. W-68.

  114. Škrinjarić, T., 2022b. Do we get cold feet when deciding on countercyclical capital buffer? Ways to deal with uncertainty in estimating credit to GDP gap in real time. The 28th Dubrovnik Economic Conference. Dubrovnik: Croatian National Bank, 2022. 

  115. Škrinjarić, T., 2023a. Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations. Public Sector Economics, 47(1), pp. 1-39 [CrossRef]

  116. Škrinjarić, T., 2023b. Leading indicators of financial stress in Croatia: a regime switching approach. Public Sector Economics, 47(2), pp. 205-232 [CrossRef]

  117. Škrinjarić, T., 2023c. Credit-to-GDP gap estimates in real time: A stable indicator for macroprudential policy making in Croatia. Comparative Economic Studies, 64(3), pp. 1-33 [CrossRef]

  118. Škrinjarić, T., 2023d. Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia. CNB Working Papers, No. W-72.

  119. Škrinjarić, T., 2024. Growth-at-Risk for macroprudential policy stance assessment: A Survey. BoE Staff Working Papers, No. 1075.

  120. Suarez, J., 2021. Growth-at-risk and macroprudential policy design. ESRB Occasional Paper Series, No. 19


  121. Tölö, E., Laakkonen, H. and Kalatie, S., 2018. Evaluating Indicators for Use in Setting the Countercyclical Capital Buffer. International Journal of Central Banking, 14(2), pp. 51-111.

  122. Vandenbussche, J., Vogel, U. and Detragiache, E., 2015. Macroprudential policies and housing prices: A new database and empirical evidence for Central, Eastern, and Southeastern Europe. Journal of Money, Credit and Banking, 47(S1), pp. 343-377 [CrossRef]

  123. Vujčić, B. and Dumičić, M., 2016. Managing Systemic Risks in the Croatian Economy. BIS Paper, No. 86l.

  124. White, H., Kim, T-H. and Manganelli, S., 2015a. VAR for VaR: measuring tail dependence using multivariate regression quantiles. ECB Working Paper Series, No. 1814 [CrossRef]

  125. White, H., Kim, T-H. and Manganelli, S., 2015b. VAR for VaR: Measuring tail dependence using multivariate regression quantiles. Journal of Econometrics, 187, pp. 169-188 [CrossRef]

  December, 2024
IV/2024

In order to give you a better user experience, cookies have been stored on your computer.
Accept cookie     More information