Metody pomiaru procykliczności systemu finansowego

Małgorzata Olszak

Data publikacji : 2024-02-19

Tom 57 Nr 4 (2014)

Metody pomiaru procykliczności systemu finansowego

Małgorzata Olszak

Abstrakt

Excessive procyclicality of the financial system (and aggregated systemic risk) is a source of financial instability. Limiting excessive procyclicality is a prerequisite for stable economic growth. Currently the task of curbing procyclicality has been assigned to macroprudential supervision. The efficacy of macroprudential policy depends on the ability of correct estimation of aggregated systemic risk. This paper focuses on methods which help to quantify this risk and aims to assess those methods. The analysis conducted in this article leads to the conclusion that early warning indicators, such as credit to GDP ratio, seem to be acceptable aggregate risk measures, as they are leading indicators. VARs and macro stress testing may be used as complementary tools. Their shortcoming is the inability to track non linearity of feedback effects between the financial system and the real economy.

Słowa kluczowe:

procykliczność, polityka makroostrożnościowa, zagregowane ryzyko systemowe, wskaźniki wczesnego ostrzegania, teksty makroekonomicznych warunków skrajnych

Inne teksty tego samego autora

Małgorzata Olszak, Filip Świtała, Antycykliczne instrumenty polityki makroostrożnościowej wpływające na rynek nieruchomości w Unii Europejskiej , Bezpieczny Bank: Tom 61 Nr 4 (2015)
Małgorzata Olszak, O skuteczności i efektywności antycyklicznej polityki makroostrożnościowej , Bezpieczny Bank: Tom 61 Nr 4 (2015)
Małgorzata Olszak, Iwona Kowalska, Determinants of Leverage and Liquidity and Bank Size – cross-country study , Bezpieczny Bank: Tom 65 Nr 4 (2016)

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Olszak, M. (2024). Metody pomiaru procykliczności systemu finansowego. Bezpieczny Bank, 57(4), 7–27. Pobrano z https://ojs.bfg.pl/index.php/bb/article/view/353

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Utwór dostępny jest na licencji Creative Commons Uznanie autorstwa – Użycie niekomercyjne – Na tych samych warunkach 4.0 Międzynarodowe.

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