BIS published a collection of six papers that were prepared as part of a BIS research protocol project on measuring the effectiveness of macro-prudential policies using supervisory bank-level data for five Asia-Pacific central banks. These central banks are BI from Indonesia, BOT from Thailand, BSP from Philippines, RBA from Australia, and RBNZ from New Zealand. BIS also published a report that examines how major Latin American central banks conduct and use stress tests in assessing the soundness of their banking systems.
Measuring the Effectiveness of Macro-Prudential Policies—Each central bank developed its own analysis, following the methodology from the protocol to enhance the comparability of the results. Preliminary results were presented in two Asian Research Network workshops held in New Zealand and Australia, respectively. Taking into account the comments from the two workshops, the authors of the five country papers finalized them in September 2019. This volume consists of the five country papers and a paper that summarizes the results using meta-analysis techniques. The results show that macro-prudential policy actions taken by the five countries (Australia, Indonesia, New Zealand, the Philippines, and Thailand) are largely effective in reducing excessive household credit growth and that tightening actions have a stronger effect than easing actions. The study also finds that macro-prudential policy is effective in reducing bank risk as measured by the nonperforming loan (NPL) ratio. Each paper further develops the country-specific analysis, including a narrative specific to their national experience.
Report on Stress Testing in Latin America—The report is based on the information gathered by a study group on stress testing that was formed by the Consultative Group of Directors of Financial Stability and comprises selected central banks in the Americas. Methodologies are compared with the help of a common stress-testing exercise run by the central banks participating in the study group. In general, central banks use top-down solvency tests to assess similar risks, but their tests differ, among other things, in the severity of assumed scenarios, assumptions about bank reaction to shocks, data granularity, and how banking indicators are calculated (as countries follow different Basel standards). As highlighted by the common exercise, differences across tests can lead to very dissimilar results and policy implications. The report also discusses how stress tests are communicated. Most central banks make stress tests public, but usually only disclose aggregate results. Furthermore, central banks do not normally measure the effectiveness of communication since stress tests are not commonly used as a policy tool.
Keywords: Asia Pacific, Americas, Latin America, Australia, Thailand, Indonesia, Philippines, New Zealand, Banking, Macro-Prudential Policy, NPLs, Research, BIS
Previous ArticleBIS Appoints Heads of Innovation Hubs in Singapore and Switzerland
The European Commission (EC) announced plans to defer the application of 13 regulatory technical standards under the Sustainable Finance Disclosure Regulation (2019/2088) by six months, from January 01, 2022 to July 01, 2022.
The Bank of England (BoE) published a consultation paper on approach to setting minimum requirement for own funds and eligible liabilities (MREL), an operational guide on executing bail-in, and a statement from the Deputy Governor Dave Ramsden.
The European Banking Authority (EBA) is seeking preliminary input on standardization of the proportionality assessment methodology for credit institutions and investment firms.
Certain regulatory authorities in the US are extending period for completion of the review of certain residential mortgage provisions and for publication of notice disclosing the determination of this review until December 20, 2021.
The Prudential Regulation Authority (PRA) published the policy statement PS18/21, which introduces an amendment in the definition of "higher paid material risk taker" in the Remuneration Part of the PRA Rulebook.
The European Banking Authority (EBA) published its annual report on asset encumbrance in banking sector.
The European Banking Authority (EBA) published a methodological guide to mystery shopping.
The Australian Prudential Regulation Authority (APRA) released a letter to authorized deposit-taking institutions to provide an update on key policy settings for the capital framework reforms, which will come into effect from January 01, 2023.
The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) published a report that assesses the business continuity planning activities of financial market infrastructures or FMIs.
The European Securities and Markets Authority (ESMA) has responded to the IFRS consultation on targeted amendments to the IFRS Foundation constitution to accommodate an International Sustainability Standards Board (ISSB) to set IFRS Sustainability Standards.