Macroprudential policies: transmission channels and impact on systemic risk
Madina Karamysheva  1, *@  , Ekaterina Seregina  2@  
1 : National Research University Higher School of Economics  (NRU HSE)  -  Site web
Shabolovka st. 26 -  Russie
2 : Bocconi University
* : Auteur correspondant

We investigate the impact of regulatory interventions on systemic risk measured by SRISK and CoVaR indicators. We look into the impact of prudential tools on systemic risk at the country level. We check for the average policy impact as well as the differential between the groups of countries. We apply the spatial econometric approach to decompose the policy impact into direct and indirect impact. Our estimations confirm the importance of macroprudential policies for systemic risk reduction. Importantly most of the reduction comes from the indirect effect of the network capturing 85 percent of total impact. Once we split the country-level indicators into banking and non-banking sectors the results still hold. However as expected policy impact is typically more relevant (and sizeable) for the banking sector. The network relevance however is important for both sectors.


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