Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractWe develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks) external financing takes the form of debt which is subject to default risk. This "3D model" shows the interplay between three interconnected net worth channels that cause financial amplification and the distortions due to deposit insurance. We apply it to the analysis of capital regulation.

The "Great Contraction" in global economic activity triggered by the financial crisis, and the extraordinary fiscal and monetary measures that public authorities had to undertake in order to put the economy back on track by putting public finances under heavy strains and leading to extremely low short-term interest rates, have shown the enormous costs resulting from an unstable financial system. Such costs have triggered wide-ranging reviews of financialstability policies. An important outcome of such a review is the strengthening of policies and instruments focused on macro-financial stability, the so-called "macro-prudential policies." The deployment of such policies may however raise important coordination issues with other stability-oriented policies, ranging from micro-prudential to monetary policies. Such coordination issues This paper benefited from the efforts of several colleagues from the Banque de France Monetary Policy Division (POMONE). We are particularly grateful to Pamfili Antipa, Julien Matheron and Eric Mengus. We are also grateful to Jean-Pierre Landau and Pierre Jaillet for comments and suggestions on earlier drafts. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Banque de France. All remaining errors are ours.

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This paper proposes an analytical framework to quantify the impacts of climate policy and transition narratives on economic and financial variables necessary for financial risk assessment. Focusing on transition risks, the scenarios considered include unexpected increases in carbon prices and productivity shocks to reflect disorderly transition processes. The modelling framework relies on a suite of models, calibrated on the high-level reference scenarios of the Network for Greening the Financial System (NGFS). Relying on this approach, the ACPR has selected a number of quantitative scenarios to be submitted to a group of voluntary banks and insurance companies to conduct the first bottom-up pilot climate-related risk assessment.

Over the recent months, several initiatives have taken place to develop macro-prudential regulation in order to prevent systemic risk and the built-up of …nancial imbalances. Crucial to the success of such policy is the ability of the macro-prudential authority to identify in due time such imbalances, generally featured by asset-price boom-bust cycles. In this paper, we investigate the possibility of detecting asset-price booms according to alternative identi…cation strategies and assess their robustness. We infer the probability that an asset-price boom turns into an asset-price bust. In addition, we try to disentangle costless or low-cost from costly asset-price booms. We …nd some evidence that house price booms are more likely to turn into costly recession than stock price booms. Resorting both to a non-parametric approach and a discretechoice (logit) model, we analyze the ability of a set of indicators to robustly explain costly asset-price booms. According to our results, real long-term interest rates, total investment, real credit and real stock prices tend to increase the probability of a costly housing-price boom, whereas real GDP and house prices tend to increase the probability of a costly stock-price boom. Regarding the latter, credit variables tend to play a less convincing role. From this perspective, we specify the scope of macro-prudential regulation as a set of tools aiming at avoiding "costly" asset-price booms. In doing so, we try both to make the case for state-contingent macro-prudential regulations and to set out clear delineation between monetary and …nancial stability objectives. RésuméComme suite à la crise …nancière, de nombreuses initiatives préconisant la mise en place de régulations macro-prudentielles visant à prévenir les risques systémiques et l'accumulation de déséquilibres …nanciers se sont fait entendre. Toutefois, la pertinence de ces propositions est conditionnelle à la capacité du régulateur macro-prudentiel, quel qu'il soit, à identi…er, en temps réel, ces déséquilibres …nanciers qui sont généralement associés à des épisodes de boom et de krach de prix d'actifs. Dans cet article, nous étudions la possibilité d'identi…er, de façon robuste, ces épisodes de booms et de krachs. Pour di¤érentes méthodes de détection usuellement utilisées dans la littérature et pour di¤érentes classes d'actifs (immobilier et actions), nous cherchons à évaluer la probabilité qu'un boom soit suivi d'un krach. Nous distinguons en outre des booms "coûteux" -en termes d'activité économique-de booms non coûteux (ou peu coûteux). Notre analyse suggère que les booms relatifs aux prix immobiliers sont plus faciles à identi…er et qu'ils sont souvent suivis de krachs que les booms sur les actions. De plus, en se fondant sur une méthode nonparamétrique ainsi que sur l'estimation de modèles à choix discrets (logit), nous mettons en évidence le lien entre di¤érents indicateurs macroéconomiques et l'occurrence de booms coûteux. Nos résultats suggèrent ainsi que les taux d'intérêt réels à long terme, l'i...