Measuring the macroprudential policy stance in the euro area with a semi‐structural model
K Budnik, L Boucherie, J Panoš - Economic Notes, 2024 - Wiley Online Library
This article proposes a methodology for measuring the macroprudential policy stance based
on a forward‐looking distance‐to‐tail metric derived from a large‐scale semi‐structural …
on a forward‐looking distance‐to‐tail metric derived from a large‐scale semi‐structural …
Micro-assessment of macroprudential borrower-based measures in Lithuania
M Dirma, J Karmelavičius - 2023 - papers.ssrn.com
Despite having introduced borrower-based measures (BBM), Lithuania's housing and
mortgage markets were booming during the low-interest-rate period, casting doubt on the …
mortgage markets were booming during the low-interest-rate period, casting doubt on the …
Stress testing with multiple scenarios: A tale on tails and reverse stress scenarios
D Aikman, R Angotti, K Budnik - 2024 - econstor.eu
This paper proposes an operational approach to stress testing, allowing one to assess the
banking sector's vulnerability in multiple plausible macro-financial scenarios. The approach …
banking sector's vulnerability in multiple plausible macro-financial scenarios. The approach …
Stress Testing with Multiple Scenarios: A Tale on Tails and Reverse Stress Scenarios
KB Budnik, D Aikman, R Angotti - Available at SSRN 4806898 - papers.ssrn.com
This paper proposes an operational approach to stress testing, allowing one to assess the
banking sector's vulnerability in multiple plausible macro-financial scenarios. The approach …
banking sector's vulnerability in multiple plausible macro-financial scenarios. The approach …