Metody pomiaru procykliczności systemu finansowego

Małgorzata Olszak

Published : 2024-02-19

Vol. 57 No. 4 (2014)

Methods for measuring financial system procyclicality

Małgorzata Olszak

Abstract

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.

Keywords:

procyclicality, macroprudential policy, aggregated systemic risk, early warning indicators, macro stress testing

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Olszak, M. (2024). Methods for measuring financial system procyclicality. Safe Bank, 57(4), 7–27. Retrieved from https://ojs.bfg.pl/index.php/bb/article/view/353

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