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Article Dans Une Revue Empirical Economics Année : 2023

Macroprudential policy and financial system stability: an aggregate study

Résumé

This paper investigates the impact of macroprudential policy announcements on financial stability in Europe. Our three financial (in)stability proxies are systemic risk measures that cover all types of financial institutions and consider various financial market segments. We find that the announcements of macroprudential policy actions only contain banking systemic risk with the latter computed based on market data. However, when measuring systemic risk by including both market and balance sheet data, we observe an increase in the systemic risk of all financial institutions, banks and non-banks. This last result is confirmed when considering non-diversifiable risk across financial market segments.
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Dates et versions

hal-04324779 , version 1 (05-12-2023)

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Hamdi Jbir, Cornel Oros, Alexandra Popescu. Macroprudential policy and financial system stability: an aggregate study. Empirical Economics, 2023, ⟨10.1007/s00181-023-02524-5⟩. ⟨hal-04324779⟩
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