Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/207612
Authors: 
Budnik, Katarzyna
Mozzanica, Mirco Balatti
Dimitrov, Ivan
Groß, Johannes
Hansen, Ib
Kleemann, Michael
Sanna, Francesco
Sarychev, Andrei
Siņenko, Nadežda
Volk, Matjaz
di Iasio, Giovanni
Year of Publication: 
2019
Series/Report no.: 
ECB Occasional Paper 226
Abstract: 
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse scenarios on economies and the financial system as a whole by acknowledging a broad set of interactions and interdependencies between banks, other market participants, and the real economy. Our results highlight the importance of the starting level of bank capital, bank asset quality, and banks' adjustments for the propagation of shocks to the financial sector and real economy.
Subjects: 
macro stress test
macroprudential policy
banking sector deleveraging
real-financial feedback mechanism
JEL: 
E37
E58
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3691-0
Document Type: 
Research Report

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