European Parliament Library

How to Capture Macro-Financial Spillover Effects in Stress Tests?, Heiko Hesse, Ferhan Salman, Christian Schmieder

Abstract
One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of spillover effects based on the “traditional” design of macro-economic stress tests. Specifically, we examine spillover effects observed during the financial crisis and simulate their impact on banks’ liquidity and capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in terms of liquidity and solvency
Table Of Contents
Cover; Contents; Abbreviations and Acronyms; I. Introduction; Figures; 1. Stylised Design of Stress Tests; II. Financial Spillovers from the Euro periphery to the Rest of the World; A. Panel Approach; B. DCC GARCH Approach; 1. Estimated GARCH Correlations GIIPS with European Countries; 2. Estimated GARCH Correlations GIIPS with Non-European Countries; 3. Estimated GARCH Correlations GIIPS with EM Countries and Korea; 4. Estimated GARCH Correlations GIIPS with Germany and the U.S:; III. Liquidity and Solvency Stress Testing; Box
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (35 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781498361729

Library Locations

  • EP Library Strasbourg

    7 Place Adrien Zeller, Allée du Printemps, Strasbourg, F-67070, FR
    Borrow
  • EP Library Luxembourg

    Rue du Fort Thüngen, Luxembourg, L-1313, LU
    Borrow
  • EP Library Brussels

    60 rue Wiertz, Brussels, B-1047, BE
    Borrow