Search Results

You are looking at 1 - 10 of 36 items for :

  • "Macroprudential policy intervention" x
Clear All
Lucyna Gornicka and Ms. Laura Valderrama
We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The proposed approach is very flexible and is particularly useful when there is limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and when structural shocks or changes in financial regulations have altered the loan default process. We apply the model to quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk bucket and vintage, which enables us to take explicit account of the loan life cycle and to incorporate the housing and economic cycles. This feature facilitates a timely assessment of banks’ loss-absorbing capacity and the buildup of systemic risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy interventions.
Lucyna Gornicka and Ms. Laura Valderrama

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The proposed approach is very flexible and is particularly useful when there is limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and when structural shocks or changes in financial regulations have altered the loan default process. We apply the model to quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk bucket and vintage, which enables us to take explicit account of the loan life cycle and to incorporate the housing and economic cycles. This feature facilitates a timely assessment of banks’ loss-absorbing capacity and the buildup of systemic risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy interventions.

Janko Cizel, Jon Frost, Aerdt G. F. J. Houben, and Peter Wierts

Front Matter Page Monetary and Capital Markets Department Table of Contents Abstract Glossary I. Introduction II. Data A. Private Credit to the Nonfinancial Sector B. Macroprudential Policy Events C. Macroeconomic Fundamentals III. Cross-Sectoral Substitution Due to Macroprudential Measures A. Methodology B. Results IV. Event Study of Macroprudential Policy Interventions A. Methodology B. Results V. Robustness Checks A. Placebo Tests B. Effect of Macroprudential Policies Events Prior to and During the Global Financial

International Monetary Fund. European Dept.

. A Modeling Approach to Quantify Banking System Resilience E. Stress Test Results under Current Macroprudential Tools F. Calibration of Borrower-Based Macroprudential Tools G. Policy Implications FIGURES 1. Macro-financial Relevance of the Mortgage Market 2. Policy Response, Mortgage Credit, House Prices, and Interest Rates 3. Leverage in Residential Real Estate Loans 4. Impact of Interest Rate Shocks on Affordability Risk 5. Stress Test Scenario: Key Variables 6. Stress Test Results 7. Timeline of Macroprudential Policy Interventions 8

International Monetary Fund. Asia and Pacific Dept

2017–18, as some key drivers started to weaken. Despite the long expansion, inflation remains weak, reflecting imported disinflation as well as strong net inward migration, which has boosted labor supply. Macrofinancial vulnerabilities have increased with a housing boom but have been contained through macroprudential policy intervention. Outlook and risks . After recent declines, growth picked up in early 2019 and is expected to remain close to trend in 2019–20 on the back of increased policy support, despite external headwinds. Inflation should pick up gradually

International Monetary Fund. Asia and Pacific Dept

reliance on offshore market funding reliance. The housing market is cooling and credit growth to households has slowed. The cooling appears to reflect the RBNZ’s macroprudential policy intervention of late 2016, as well as possibly weaker foreign demand and self-correction in response to declining affordability. Together with tightening in bank lending standards, growth in household credit moderated in turn, broadly in line with nominal income growth. The household debt-to-income ratio, while still high, has stabilized around 168 percent. Monetary policy remains

International Monetary Fund. European Dept.

percent. The sectoral CCyB was increased to 2 percent in January 2014, as real estate imbalances persisted ( Figure 2 ). Figure 2. Policy Response, Mortgage Credit, House Prices, and Interest Rates (+ Tighten; – Relaxed; Year-on-Year; Percent) Sources: SNB; FINMA; Wuest Partner; IMF staff calculations. Note: The vertical lines represent policy response to address imbalances in the mortgage and residential real estate sectors. The red lines are macroprudential policy interventions (introduction; adjustments to CCyB buffer); the blue lines represent self

International Monetary Fund. Asia and Pacific Dept
New Zealand's economy has enjoyed a solid expansion since 2011. With a persistent net migration wave, potential output has moved closely in line with actual output, and economic slack has decreased slowly. Macroeconomic imbalances overall have narrowed, although macro-financial vulnerabilities have risen with rapid house price increases. The new coalition government seeks to make growth more inclusive.
International Monetary Fund. Asia and Pacific Dept

Sources: Reserve Bank of New Zealand; Haver Analytics; and IMF staff calculations. Goods Terms of Trade and REER (Indices, in logs) Source: Haver Analytics. 8. The housing market is cooling and credit growth to households slowed . House price increases moderated since mid-2016, led by Auckland, while house sales declined and increases in residential building approvals slowed. The cooling appeared to reflect macroprudential policy intervention as RBNZ further tightened LVR restrictions in October 2016, primarily affecting credit to property investors