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SCHOOL • brandeis.edu/global 5
Risk- and Equal-weighted Ratios
(66 Global banks with capital in excess of €3 bn)
RWA:
2009: 5.7%
2018: 13.
Bank default rates would have been 3.5 percentage points lower
Credit and GDP would have been 5 percent and 0.8 percent higher
The
recently…
Capital and Macroprudential Buffers
2.5
18
16
2
14
1.5
% RWA
Blns.
12
1
10
.5
8
0
2009q1 2011q1 2013q1 2015q1
5 5 10 5
0 0 0 0
–5 –5 –10 –5
–10 –10 –20 –10
–15 –15 –30 –15
1 2 3 4 5
at time t, h – different horizons in quarters, C – binary crisis
variable. 5
Comparison of the out-of-sample forecasts over
the cross-section of 21 countries
GDP
New paper (Alam et al. (2019) tackles these challenges
INTERNATIONAL MONETARY FUND 5
What’s New?
1. Introduce a new comprehensive database of macroprudential policies
5
4,5 3,68
2,5 23,8%
34,0% 31,63%
0,5 36,69%
-1,5
-3,5
-2,90
-5,5
macroprudential policy
Cavallino and Sandri (BIS and IMF) ELB BOR - July 2019 5 / 25
Introduction
Literature Review
Global financial cycle and monetary spillovers: Rey (2015,
of fiscal discipline for oil-exporting
countries, Journal of Monetary Economics 59 (3)
5 Medina & Soto (2016) - Commodity prices and fiscal policy in a
commodity exporting
2/5
This Paper
3/5
This Paper
Results:
— Occasionally binding credit constraint
— Tighter ex-ante monetary policy
— Additional policy instruments including macro-pru
3/5
Broader