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
|
FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
Abbreviation |
Description |
Transformation |
C2GDP gap |
Credit to GDP gap |
Hodrick-Prescott filter gap, smoothing parameter for (narrow) credit series is 125K, for GDP is 1.600 |
Diff C2GDP ratio |
Differenced credit to GDP ratio |
One year difference of the (narrow) credit to GDP ratio |
Diff Narrow credit |
Differenced values of narrow credit |
One year difference |
d-SRI (ECB) |
Domestic systemic risk indicator |
See Lang et al. (2019) |
ICSR (HR) |
Indicator of Cyclical Systemic Risks |
See Škrinjarić (2022, 2023a) |
2y Diff Narrow credit |
2-year differenced narrow credit |
– |
2y Diff C2GDP ratio |
2-year differenced credit to GDP ratio |
– |
Diff ICSR (HR) |
Differenced ICSR |
– |
Growth rate Narrow credit |
One year growth rate of narrow credit |
– |
Source: Author.
Model |
M1 |
M2 |
M3 |
M4 |
AIC MPI |
241.23 |
236.14 |
234.02 |
234.88 |
AIC  |
175.57 |
171.90 |
169.65 |
171.36 |
Source: Author’s calculation.
Model |
M1 |
M2 |
M3 |
10th percentile |
0.54 |
0.81 |
0.43 |
Median |
0.77 |
0.76 |
0.63 |
Source: Author’s calculation.
Acemoglu, D., Ozdaglar, A. and Tahbaz-Salehi, A., 2015. Microeconomic origins of macroeconomic tail risks. NBER Working Paper, No. 20865 [ CrossRef]
Adams, P. A. [et al.], 2020. Forecasting Macroeconomic Risks. FRBNY Staff Reports, No. 914 [ CrossRef]
Adrian, T., Boyarchenko, N. and Giannone, D., 2019. Vulnerable growth. American Economic Review, 109(4), pp. 1263-1289 [ CrossRef]
Akinci, O. and Olmstead-Rumsey, J., 2015. How Effective are Macroprudential Policies? An Empirical Investigation. International Finance Discussion Papers, No. 1136 [ CrossRef]
Akinci, O. and Olmstead-Rumsey, J., 2018. How effective are macroprudential policies? An empirical investigation. Journal of Financial Intermediation, 33, pp. 33-57 [ CrossRef]
Ampudia, M. [et al.], 2021. On the effectiveness of macroprudential policy. ECB Discussion Paper, No. 2559 [ CrossRef]
Arslan, Y. and Upper, C., 2017. Macroprudential frameworks: implementation and effectiveness. BIS Papers, No. 94.
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]
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]
Bank of Japan, 2018. Financial Stability Review. Tokio: Bank of Japan.
Blanchard, O., 2016. Do DSGE models have a future? Peterson Institute for International Economics Policy Brief, PG 16-11.
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.
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]
Brownlees, C. and Souza, A. B. M., 2021. Backtesting global Growth-at-Risk. Journal of Monetary Economics, 118, pp. 312-330 [ CrossRef]
Buch, C. M., Vogel, E. and Weigert, B., 2018. Evaluating macroprudential policies. Working Paper Series, No 76 [ CrossRef]
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]
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]
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]
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]
Cerutti, E. Claessens, S. and Laeven, L., 2015. Database. Washington: International Monetary Fund.
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]
Chavleishvili, S. and Kremer, M., 2023. Measuring systemic financial stress and its risks for growth. ECB Working Paper Series, No. 2842 [ CrossRef]
Chavleishvili, S. and Manganelli, S., 2020. Forecasting and stress testing with quantile vector autoregression. ECB Working Paper Series, No. 2330 [ CrossRef]
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]
Claessens, S., 2014. An Overview of Macroprudential Policy Tools. IMF working paper, No. WP/14/24 [ CrossRef]
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]
CNB, 2023. Internal database of HIFS – Croatian index of financial stress. Zagreb: Croatian National Bank.
CNB, 2023. Online database Croatian National Bank. Zagreb: Croatian National Bank.
Cucic, D. [et al.], 2022. Evaluating the macroprudential stance in a growth-at-risk framework. Economic Memo, No. 14.
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]
Davino, C., Furno, M. and Vistocco, D., 2013. Quantile regression: theory and applications. New York: John Wiley & Sons [ CrossRef]
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.
De Schryder, S., Opitz, F., 2021. Macroprudential policy and its impact on the credit cycle. Journal of Financial Stability, 53, 100818 [ CrossRef]
Deghi, A. [et al.], 2020. Predicting Downside Risks to House Prices and Macro-Financial Stability. IMF Working Paper, WP/20/11 [ CrossRef]
Drenkovska, M. and Volčjak, R., 2022. Growth-at-risk and Financial Stability: Concept and Application for Slovenia. Discussion Papers, No. 5.
Eguren-Martin, F. [et al.], 2021. Capital Flows-at-Risk: Push, Pull and the Role of Policy. ECB Working Paper, No. 2021/2538 [ CrossRef]
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]
Flament, G., Hurlin, C. and Lajaunie, Q., 2023. The at-Risk approach: a new tool for stress tests and overlays [ CrossRef]
Franta, M. and Gambacorta, L., 2020. On the effects of macroprudential policies on Growth at Risk. Economics Letters, 196, 109501 [ CrossRef]
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]
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]
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]
Gelos, G. [et al.], 2022. Capital flows at risk: taming the ebbs and flows. Journal of International Economics, 134, 103555 [ CrossRef]
Giglio, S., Kelly, B. and Pruitt, S., 2015. Systemic risk and the macroeconomy: An empirical evaluation. NBER working paper, No. 20963 [ CrossRef]
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]
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]
Jordá, O., 2023. Local Projections for Applied Economics. Federal Reserve Bank of San Francisco Working Paper, No. 2023-16 [ CrossRef]
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]
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]
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.
Kiley, M. T., 2021. Growth at Risk from Climate Change (August, 2021). FEDS Working Paper, No. 2021-54 [ CrossRef]
Koenker, R. W. and Bassett, G., 1978. Regression Quantiles. Econometrica, 46(1), pp. 33-50 [ CrossRef]
Koenker, R., 2005. Quantile regression. Cambridge: Cambridge University Press [ CrossRef]
Koh, W. C. [et al.], 2020. Debt and Financial Crisis. Policy Research Working Paper, No. 9116 [ CrossRef]
Kraft, E. and Galac, T., 2011. Macroprudential Regulation of Credit Booms and Busts, The Case of Croatia. Policy Research Working Paper, No. 5772 [ CrossRef]
Kupiec, P., 1995. Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives, 2, pp. 173-184 [ CrossRef]
Laeven, L. and Valencia, F., 2012. Systemic Banking Crises Database: An Update. IMF Working Paper, No. WP/12/163 [ CrossRef]
Laeven, L. and Valencia, F., 2013. Systemic Banking Crises Database. IMF Economic Review, 61, pp. 225-270 [ CrossRef]
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]
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.
Lang, J. H. and Forletta, M., 2020. Cyclical systemic risk and downside risks to bank profitability. ECB Working Paper Series, No. 2405 [ CrossRef]
Lim, C. [et al.], 2011. Macroprudential Policy: What Instruments and How to Use Them? IMF working paper, No. WP/11/238 [ CrossRef]
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]
López-Salido, D. and Loria F., 2021. Inflation at Risk. FEDS Working Paper, No. 2020-013 [ CrossRef]
Lucas, R. E., 1972. Expectations and the Neutrality of Money. Journal of Economic Theory, 4(2), pp. 103-124 [ CrossRef]
McCallum, B. T., 1999. Analysis of the Monetary Transmission Mechanism: Methodological Issues. NBER Working Paper, No. 7395 [ CrossRef]
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]
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]
Mitchell, J., Poon, A. and Zhu, D., 2021. Multimodality in Macroeconomic Dynamics: Constructing Density Forecasts from Quantile Regressions. Working paper.
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]
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]
Plagborg-Møller, M. [et al.], 2020. When is Growth at Risk? Brookings Papers on Economic Activity, 2020(1), pp. 167-229 [ CrossRef]
Portes, R. [et al.], 2020. The global dimensions of macroprudential policy. ESRB: Advisory Scientific Committee Reports, 2020/10 [ CrossRef]
Prasad, A. [et al.], 2019. Growth at Risk: Concept and Application in IMF Country Surveillance. IMF Working Paper, No. 36 [ CrossRef]
Ramey, V. A., 2016. Chapter 2 - Macroeconomic Shocks and Their Propagation. In: Handbook of Macroeconomics, Vol. 2, pp 71-162 [ CrossRef]
Reichlin, L., Ricco, G. and Hasenzagl, T., 2020. Financial variables as predictors of real growth vulnerability. Discussion Papers, 05/2020 [ CrossRef]
Reinhart, C. M. and Rogoff, K. S., 2009. This Time is Different: Eight Centuries of Financial Folly. Princeton Press.
Richter, B., Schularik, M. and Shim, I., 2018. The costs of macroprudential policy. NBER Working paper, No. 24989 [ CrossRef]
Richter, B., Schularik, M. and Shim, I., 2019. The costs of macroprudential policy. Journal of International Economics, 118, pp. 263-282 [ CrossRef]
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<
Škrinjarić, T., 2022a. Introduction of the composite indicator of cyclical systemic risk in Croatia: possibilities and limitations. CNB Working Papers, No. W-68.
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]
Škrinjarić, T., 2023b. Leading indicators of financial stress in Croatia: a regime switching approach. Public Sector Economics, 47(2), pp. 205-232 [ CrossRef]
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]
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.
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]
Vujčić, B. and Dumičić, M., 2016. Managing Systemic Risks in the Croatian Economy. BIS Paper, No. 86l.
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]
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
|