Featured Product

    BIS Papers Related to Macro-Prudential Policy and Stress Testing

    February 19, 2020

    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.


    Related Links

    Keywords: Asia Pacific, Americas, Latin America, Australia, Thailand, Indonesia, Philippines, New Zealand, Banking, Macro-Prudential Policy, NPLs, Research, BIS

    Featured Experts
    Related Articles

    EBA Launches Stress Tests for Banks, Issues Other Updates

    The European Banking Authority (EBA) launched the 2023 European Union (EU)-wide stress test, published annual reports on minimum requirement for own funds and eligible liabilities (MREL) and high earners with data as of December 2021.

    January 31, 2023 WebPage Regulatory News

    EBA Proposes Standards for IRRBB Reporting Under Basel Framework

    The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023.

    January 31, 2023 WebPage Regulatory News

    FED Issues Further Details on Pilot Climate Scenario Analysis Exercise

    The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.

    January 17, 2023 WebPage Regulatory News

    US Agencies Issue Several Regulatory and Reporting Updates

    The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.

    January 04, 2023 WebPage Regulatory News

    ECB Issues Multiple Reports and Regulatory Updates for Banks

    The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.

    January 01, 2023 WebPage Regulatory News

    HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements

    The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.

    December 30, 2022 WebPage Regulatory News

    EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR

    The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.

    December 29, 2022 WebPage Regulatory News

    CBIRC Revises Measures on Corporate Governance Supervision

    The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.

    December 29, 2022 WebPage Regulatory News

    HKMA Publications Address Sustainability Issues in Financial Sector

    The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.

    December 23, 2022 WebPage Regulatory News

    EBA Updates Address Basel and NPL Requirements for Banks

    The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.

    December 22, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8700