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Claudio BorioHead of the Monetary and Economic Department
Macroprudential frameworks:Experience, prospects and a way forward
9th biennial IFC Conference BIS, Basel 31 August 2018
2
Introduction Macroprudential (MaP) frameworks
A key new element of the post-crisis financial reforms
3
Growing popularity of the term “macroprudential”
4
Themes and takeaways Macroprudential (MaP) frameworks
A key new element of the post-crisis financial reforms
Two questions: What has been the experience so far? What is the way forward?
Definition: use of (primarily) prudential tools targeting systemic risk Focus: time dimension (procyclicality)
Three takeaways MaP frameworks have brought about a welcome major intellectual shift Substantial progress has been made, but more needs to be done MaP to be embedded in broader macro-financial stability frameworks
5
Structure of the remarks
The MaP intellectual shift A major enduring gain
Implementing MaP framework Good progress, but more needed
Beyond MaP frameworks Towards a more holistic macro-financial stability framework
6
Two conceptions of risk
Prevailing pre-crisis Macroprudential
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Financial booms, low spreads and volatility are signs of high risk-taking
US example
8
Growing popularity of the terms “macroprudential” and “financial cycle”
9
Structure of the remarks
The MaP intellectual shift A major enduring gain
Implementing MaP framework Good progress, but more needed
Beyond MaP frameworks Towards a more holistic macro-financial stability framework
10
Macro stress tests: strengths and limitations
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Macroprudential: growing use of measures over time
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Impact of macroprudential measures on bank credit
Impact of tightening
–1.25
–1.00
–0.75
–0.50
–0.25
0.00
Loan provisioning Countercyclicalrules capital buffers
One-year effect, % pts
No statistical significance
13
Some signs of financial imbalances even where measures used actively
–4
–2
0
2
4
–20
–10
0
10
20
06 07 08 09 10 11 12 13 14 15 16 17
%Country 3
Number of measures(+1/–1) tightening/loosening action
Lhs:
–4
–2
0
2
4
–12
–6
0
6
12
06 07 08 09 10 11 12 13 14 15 16 17
%Country 4
Credit-to-GDP gapRhs:
10% threshold for the BCBScountercyclical capital buffer
10%
10%
10%
10%
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Who is responsible for macroprudential measures?
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A case for autonomy in MaP frameworks
Autonomy
Accountability Transparency
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Structure of the remarks
The MaP intellectual shift A major enduring gain
Implementing MaP framework Good progress, but more needed
Beyond MaP frameworks Towards a more holistic macro-financial stability framework
17
Monetary policy Macroprudentialorientation
Fiscal policy Microprudentialorientation
Structural policies
Macro-financial stability framework
Macroeconomicpolicy
Prudentialpolicy
Towards a macro-financial stability framework
18
Conclusion
The MaP intellectual shift A major enduring gain
Implementing MaP framework Good progress, but more needed
Beyond MaP frameworks Towards a more holistic macro-financial stability framework
19
Thank you!
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