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Macroprudential Analysis

What is 'Macroprudential Analysis'

A method of economic analysis that evaluates the health, soundness and vulnerabilities of a financial system. Macroprudential analysis looks at the health of the underlying financial institutions in the system and performs stress tests and scenario analysis to help determine the system's sensitivity to economic shocks. Macroeconomic and market data are also reviewed to determine the health of the current system. The analysis also focuses on qualitative data related to financial institutions' frameworks and the regulatory environment to get an additional sense of the strength and vulnerabilities in the system.

Explaining 'Macroprudential Analysis'

When looking at the health of the underlying financial institutions in the system, macroprudential analysis uses indicators that provide data on the health of these institutions as a whole including capital adequacy, asset quality, management performance, profitability, liquidity and sensitivity to systematic risks. Macroeconomic data used includes gross domestic product (GDP) growth rates, inflation, interest rates, balance of payments, exchange rates, asset prices and the correlation of markets within the system. Finally, macroprudential analysis looks at key components of the financial markets, including prevailing credit ratings and the yields and market prices of financial instruments.

Scenario analysis and stress tests are major component of this analysis. For example, the analysis may look at how the system would cope with a steadily declining currency value and its impact on GDP, interest rates and underlying institution profitability.


Further Reading


Macro-financial stability and macroprudential analysis
www.questia.com [PDF]
… its information about the financial system, including a number of macro-prudential indicators of … B, A Rose and C Wyplosz (1996), "Contagious Currency Crises," Scandinavian Journal of Economics 463-84 … IMF (2001) "Macroprudential analysis - Selected issues" IMF (forthcoming …

Early warning indicators for the German banking system: a macroprudential analysisEarly warning indicators for the German banking system: a macroprudential analysis
papers.ssrn.com [PDF]
… its information about the financial system, including a number of macro-prudential indicators of … B, A Rose and C Wyplosz (1996), "Contagious Currency Crises," Scandinavian Journal of Economics 463-84 … IMF (2001) "Macroprudential analysis - Selected issues" IMF (forthcoming …

Macroprudential and monetary policies: Implications for financial stability and welfareMacroprudential and monetary policies: Implications for financial stability and welfare
www.sciencedirect.com [PDF]
… its information about the financial system, including a number of macro-prudential indicators of … B, A Rose and C Wyplosz (1996), "Contagious Currency Crises," Scandinavian Journal of Economics 463-84 … IMF (2001) "Macroprudential analysis - Selected issues" IMF (forthcoming …

Financial crises and macro-prudential policiesFinancial crises and macro-prudential policies
www.sciencedirect.com [PDF]
… its information about the financial system, including a number of macro-prudential indicators of … B, A Rose and C Wyplosz (1996), "Contagious Currency Crises," Scandinavian Journal of Economics 463-84 … IMF (2001) "Macroprudential analysis - Selected issues" IMF (forthcoming …

A macroprudential approach to financial regulationA macroprudential approach to financial regulation
www.aeaweb.org [PDF]
… its information about the financial system, including a number of macro-prudential indicators of … B, A Rose and C Wyplosz (1996), "Contagious Currency Crises," Scandinavian Journal of Economics 463-84 … IMF (2001) "Macroprudential analysis - Selected issues" IMF (forthcoming …

Macroprudential analysis of residential real estate marketsMacroprudential analysis of residential real estate markets
ideas.repec.org [PDF]
… its information about the financial system, including a number of macro-prudential indicators of … B, A Rose and C Wyplosz (1996), "Contagious Currency Crises," Scandinavian Journal of Economics 463-84 … IMF (2001) "Macroprudential analysis - Selected issues" IMF (forthcoming …

Towards a macroprudential framework for financial supervision and regulation?Towards a macroprudential framework for financial supervision and regulation?
academic.oup.com [PDF]
… its information about the financial system, including a number of macro-prudential indicators of … B, A Rose and C Wyplosz (1996), "Contagious Currency Crises," Scandinavian Journal of Economics 463-84 … IMF (2001) "Macroprudential analysis - Selected issues" IMF (forthcoming …


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