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Mehmet Ziya Gorpe, Giovanni Covi, and Christoffer Kok

.2 Capital base 6.3 Liquidity dynamics 6.4 Network structure 6.5 Parameter interaction 6.6 Market-based measures 7. Macroprudential Policy Calibration 7.1 Fine-turning prudential measures 7.2 Policy discussion 8. Conclusion References Appendix

International Monetary Fund. European Dept.

. Model Setup MACROPRUDENTIAL POLICY CALIBRATION IN SLOVAKIA A. The Context B. The Policy Response C. The Model D. Stress Test Results E. Counterfactual Macroprudential Policy Simulations F. Policy Implications References ANNEX I. A Structural Model to Measure Mortgage Risk FIGURES 1. Cross-Sector Comparison of European Supply Chain Lengths 2. The Auto Industry Across European Countries 3. Change in Slovak Auto Sector GVA by Source of Shock 4. Exposure to Changes in Trade Patterns

________________________________________________________________________________ B. The Impact of the Pandemic ______________________________________________________________ C. Reorganization of Supply Chains _________________________________________________________ D. Conclusion __________________________________________________________________________________ References _____________________________________________________________________________________ ANNEX I. Model Setup_______________________________________________________________________________ MACROPRUDENTIAL POLICY CALIBRATION IN SLOVAKIA _________________________ A. The Context

International Monetary Fund. European Dept.

. Reserve Bank of New Zealand ( 2021 ), “ Financial Stability Report”, May . Valderrama , L , (forthcoming), “ Macroprudential Policy Calibration in Slovakia ”, IMF Working Paper . Annex I. A Structural Model to Measure Mortgage Risk The Model: Projecting Credit Risk, Probability of Default and Loss Given Default 1. We use a structural model by risk and vintage buckets to define the loss event . The modeling approach follows Gornicka and Valderrama (2020) , which is itself based on Harrison and Mathew (2008) . A borrower defaults if she fails the

International Monetary Fund. European Dept.

,” May . Schneider , M. and Wagner , K. ( 2015 ), “ Housing Markets in Austria, Germany and Switzerland ,” Oesterreichische Nationalbank, Monetary Policy & The Economy, Q1/15 . Swiss National Bank ( 2021 ), “ Financial Stability Report,” June . Valderrama , L , ( 2021 ), “ Macroprudential Policy Calibration in Slovakia ,” Selected Issues, Chapter 2, IMF Country Report No. 21/134 . Zurbrügg , F. , ( 2022 ), “ Macroprudential policy beyond the pandemic: Taking stock and looking ahead ,” International Center of Monetary and Banking

Mehmet Ziya Gorpe, Giovanni Covi, and Christoffer Kok
This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
International Monetary Fund. Monetary and Capital Markets Department

) the mix between the release of dedicated macroprudential buffers on the one hand and regulatory relief on microprudential constraints, such as loan classification rules, etc., on the other. 42. A starting point of such discussion could be to link macroprudential policy calibration more closely with the Pillar 1 risk analysis. This requires that standard stress testing tools are augmented to include macrofinancial feedback, such that lending helps maintain spending (GDP) and/ or debt service of the household and corporate sectors. Such models are starting to be

International Monetary Fund. Monetary and Capital Markets Department
This technical note on macroprudential policy framework and tools on France highlights that the institutional arrangements provide adequate powers to ensure Haut conseil de stabilité financière’s (HCSF) ability to act; however, some tools remain outside its legal domain. The report also discusses that The HCSF should evaluate effects of tools introduced to mitigate risks from corporate leverage. The HCSF should continue to monitor vulnerabilities in the corporate sector and once enough data is available, evaluate the impact on the tools introduced on: resilience of the financial system; and corporate borrowing behavior. A sectoral systemic risk buffer, calibrated to corporate exposures, could be considered if vulnerabilities intensify. A fiscal measure that incentivizes corporates to finance through equity rather than debt would affect both bank and market-based finance. Such a measure would have an impact on the demand for credit, rather than its supply. The macroprudential policy toolkit should be strengthened further.
International Monetary Fund. Monetary and Capital Markets Department
This background paper reviews the development of the scope of financial stability assessments under the FSAP since the 2014 FSAP Review. The paper summarizes past experiences of such adaptation and observed trends with respect to the coverage of specific topics and then discusses possible directions to adjust the scope of future FSAPs over the next five years given the likely changes in the financial stability landscape. The paper also discusses collaboration with the World Bank as it pertains to the scope of financial stability assessments. It does not examine issues such as analytical approaches, participation, and resources, which are covered elsewhere in the FSAP Review.