A scientometric review on literature of macroprudential policy

Tang, Zhenpeng; Zhang, Tingting; Liu, Chongshan; Wu, Junchuan

doi:10.1080/1331677x.2020.1844579

Cited by 7 publications

(4 citation statements)

References 79 publications

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“…However, there is no consensus on the definition of systemic financial risk. It is thus necessary to further explore systemic risk (Tang et al, 2021). Adrian and Brunnermeier (2016) defined systemic financial risk as the risk of the intermediation capacity of the entire financial system malfunctioning, which would result in potentially adverse consequences for the supply of credit to the real economy.…”

Section: Literature Reviewmentioning

confidence: 99%

Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach

Hao

Chen

2021

Economic Research-Ekonomska Istraživanja

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This paper investigates systemic risk in Chinese financial industries by constructing a vine copula grouped CoVaR model, which accounts for the fact that various sub-industries are comprised of multiple financial institutions. The backtesting results indicate that the vine copula grouped model performs better in measuring the systemic risk in comparison to the vine copula model, which in turn validates the accuracy and effectiveness of the former. Moreover, the results indicate that banking is a major systemic risk contributor, even though it has a strong ability to resist risk. Additionally, the potential loss faced by the securities industry is big, but its systemic risk contribution is small. These results are of significance to investment decision and risk management.

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Section: Literature Reviewmentioning

confidence: 99%

Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach

Hao

Chen

2021

Economic Research-Ekonomska Istraživanja

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“…Как следует из наукоемкого обзора литературы [1], в последние годы наблюдается рост научного интереса к проблемам эффективности макропруденциальной политики центральных банков. Это связано с тем, что качественная макропруденциальная политика способна обеспечить финансовую стабильность и тем самым создать условия для экономического роста [2].…”

Section: Introductionunclassified

Effectiveness of Macroprudential Policy: Problems of Measurement and Evaluation

Господарчук

Zeleneva

2023

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The macroprudential policy of central banks plays a key role in ensuring financial stability not only at the level of individual states but also on the scale of the entire global economy. In this regard, adequate measurement of its effectiveness is an urgent task for national and supranational financial regulatory authorities. The present study is focused on solving this problem. The purpose of the study is to develop indicators and criteria for a comprehensive assessment of the effectiveness of countries’ macroprudential policies, allowing for a cross-country analysis of this effectiveness and identifying the best global practices in macroprudential regulation. The study is based on the consolidation of the market and institutional approaches to measuring financial stability, as well as on the use of normative methods and methods of comparative economic analysis. As a result of the study, new indicators for diagnosing the effectiveness of macroprudential policy have been developed. Criteria are proposed to determine the international positions of countries in terms of the level of general, market, and institutional effectiveness of the macroprudential policy. Testing of the developed indicators and criteria was carried out for 180 countries for the period 1998–2019. The developed indicators and criteria for the effectiveness of macroprudential policy differ from the existing ones in a comprehensive manner, since they take into account the stability of financial markets and financial systems at the same time. They are also more representative as they include a wider range of parameters taken into account in financial stability calculations.

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“…Table 1 Last Published Papers using scientometric analysis, networks theory, or literature analysis through database focused on the economics of sustainability and climate change [ [1] , [2] , [3] , [4] , [5] , [6] ].…”

Section: Introductionmentioning

confidence: 99%