Prague Economic Papers 2018, 27(5):522-540 | DOI: 10.18267/j.pep.667

Monetary Policy and Cyclical Systemic Risk - Friends or Foes?

Łukasz Kurowski1, Paweł Smaga2,*
1 Warsaw School of Economics (Institute of Finance) and National Bank of Poland, Poland (lukaszkurowskisgh@gmail.com)
2 Warsaw School of Economics (Institute of Finance) and National Bank of Poland, Poland (psmaga@sgh.waw.pl)

We explore the procyclicality of monetary policy decisions towards the financial cycle in the 1995-2015 period on a sample of seven central banks. Using the real interest rate gap and the credit-to-GDP gap, we provide evidence that monetary policy procyclicality is a material issue occurring in more than 50% of observations in expansionary phase of financial cycle. It indicates that the central bank faces conflicting objectives of price and financial stability (as proxied by cyclical systemic risk). Nevertheless, taking into consideration all financial cycle phases, complementariness between price and financial stability is more frequent than cases with conflicting objectives in the UK, Euro Area and the US. The occurrence of potential procyclical behaviour of monetary policy (especially in the financial cycle expansion phases) underlines the need for proactive macroprudential policy.

Klíčová slova: financial stability, macroprudential policy, monetary policy, financial cycle
JEL classification: E52, E58, E61, G18

Přijato: 13. únor 2018; Zveřejněno: 1. říjen 2018  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Kurowski, Ł., & Smaga, P. (2018). Monetary Policy and Cyclical Systemic Risk - Friends or Foes? Prague Economic Papers, 27(5), 522-540. doi: 10.18267/j.pep.667
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Agur, I., Demertzis, M. (2012). Excessive Bank Risk Taking and Monetary Policy. European Central Bank. Working Paper No. 1457. Přejít k původnímu zdroji...
    2. Assenmacher-Wesche, K., Gerlach, S. (2010). Financial Structure and the Impact of Monetary Policy on Property Prices. Institute for Monetary and Financial Stability, University of Frankfurt. Available at: http://www.riksbank.se/Upload/Dokument_riksbank/Kat_foa/2009/6_8nov/Assenmacher-Wesche-Gerlach.pdf Přejít k původnímu zdroji...
    3. Athanasoglou, P. P., Daniilidis, I., Delis, M. D. (2014). Bank Procyclicality and Output: Issues and Policies. Journal of Economics and Business, 72, 58-83, https://doi.org/10.1016/j.jeconbus.2013.10.003 Přejít k původnímu zdroji...
    4. Bauer, G., Pasricha, G., Sekkel, R., Terajima, Y. (2016). The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies. Bank of Canada. Staff Working Paper No. 38.
    5. Baxa, J., Horváth, R., Vašíček, B. (2013). Time-Varying Monetary-Policy Rules and Financial Stress: Does Financial Instability Matter for Monetary Policy? Journal of Financial Stability, Elsevier, 9(1), 117-138, https://doi.org/10.1016/j.jfs.2011.10.002 Přejít k původnímu zdroji...
    6. Beau, D., Clerc, L., Mojon, B. (2012). Macro-Prudential Policy and the Conduct of Monetary Policy. Banque de France. Available at: http://www.benoitmojon.com/pdf/Beau-Clerc-Mojon.pdf
    7. Beyer, A., Nicoletti, G., Papadopoulou, N., Papsdorf, P., Rünstler, G., Schwarz, C., Sousa, J., Vergote, O. (2017). The Transmission Channels of Monetary, Macro- and Microprudential Policies and their Interrelations. ECB. Occasional Paper Series No. 191.
    8. Blanchard, O., Cerutti, E., Summers, L. (2015). Inflation and Activity - Two Explorations and Their Monetary Policy Implications. IMF. Working Paper No. WP/15/230, https://doi.org/10.2139/ssrn.2689049 Přejít k původnímu zdroji...
    9. Bordo, M. D., Lane, J. L. (2012). Does Expansionary Monetary Policy Cause Asset Price Booms; Some Historical and Empirical Evidence. Paper presented at Sixteenth Annual Conference of the Central Bank of Chile.
    10. Borio, C. (2014a). The Financial Cycle and Macroeconomics: What Have We Learnt? Journal of Banking & Finance, Elsevier, 45(C), 182-198, https://doi.org/10.1016/j.jbankfin.2013.07.031 Přejít k původnímu zdroji...
    11. Borio, C., Disyatat, P., Drehmann, M., Juselius, M. (2016). Monetary Policy, the Financial Cycle and Ultra-Low Interest Rates. Bank for International Settlements. Working Papers No. 569.
    12. Borio, C., Drehmann, M. (2009). Assessing the Risk of Banking Crises - Revisited. Bank for International Settlements. Quarterly Review (March). Available at: http://www.bis.org/publ/qtrpdf/r_qt0903e.pdf
    13. Borio, C., Drehmann, M., Gambacorta, L., Jiménez, G., Trucharte C. (2010). Countercyclical Capital Buffers: Exploring Options. Bank for International Settlements. Working Paper No. 317, https://doi.org/10.2139/ssrn.1648946 Přejít k původnímu zdroji...
    14. Borio, C., Drehmann, M., Tsatsaronis, K. (2011). Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates. International Journal of Central Banking, 7(4), 189-240.
    15. Borio, C., Drehmann, M., Tsatsaronis, K. (2012). Characterising the Financial Cycle: Do Not Lose Sight of the Medium Term! Bank for International Settlements. Working Papers No. 380.
    16. Borio, C., Zabai, A. (2016). Unconventional Monetary Policies: A Re-Appraisal. Bank for International Settlements. Working Paper No. 570.
    17. BSCB (2010). Guidance for National Authorities Operating the Countercyclical Capital Buffer. Bank for International Settlements. Working Paper. Available at: http://www.bis.org/publ/bcbs187.pdf
    18. Calderon, C., Fuentes, J. R. (2014). Have Business Cycles Changed over the Last Two Decades? An Empirical Investigation. Journal of Development Economics, Elsevier, 109, 98-123, https://doi.org/10.1016/j.jdeveco.2014.03.001 Přejít k původnímu zdroji...
    19. Claessens, S., Kose, M. A., Terrones, M. E. (2011). How do Business and Financial Cycles Interact? International Monetary Fund. Working Paper No. 11/88. Přejít k původnímu zdroji...
    20. Delis, M. D., Karavias, Y. (2015). Optimal versus Realized Bank Credit Risk and Monetary Policy. Journal of Financial Stability, Elsevier, 16, 13-30, https://doi.org/10.1016/j.jfs.2014.11.004 Přejít k původnímu zdroji...
    21. ESRB (2014). Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options. European Systemic Risk Board. Occasional Paper Series No. 5.
    22. Fendoglu, S. (2014). Optimal Monetary Policy Rules, Financial Amplification, and Uncertain Business Cycles. Journal of Economic Dynamics and Control, Elsevier, 46, 271-305, https://doi.org/10.1016/j.jedc.2014.06.008 Přejít k původnímu zdroji...
    23. Frait, J., Komárková, Z. (2012). Macroprudential Policy and Its Instruments in a Small EU Economy. Research and Policy Notes, vol. 3/2012. Available at: https://www.cnb.cz/en/research/research_publications/irpn/2012/rpn_03_2012.html
    24. Geršl, A., Seidler, J. (2015). Countercyclical Capital Buffers and Credit-to-GDP Gaps: Simulation for Central, Eastern, and Southeastern Europe. Eastern European Economics, 53(6), 439-465, https://doi.org/10.1080/00128775.2015.1102602 Přejít k původnímu zdroji...
    25. Giammarioli, N., Valla, N. (2004). The Natural Real Interest Rate and Monetary Policy: A Review. Journal of Policy Modeling, 26(5), 641-660, https://doi.org/10.1016/j.jpolmod.2004.01.007 Přejít k původnímu zdroji...
    26. Giese, J., Andersen, H., Bush, O., Castro, C., Farag, M., Kapadia, S. (2014). The Credit-to-GDP Gap and Complementary Indicators for Macroprudential Policy: Evidence from the UK. International Journal of Finance and Economics, 19(1), 25-47, https://doi.org/10.1002/ijfe.1489 Přejít k původnímu zdroji...
    27. Hahm, J-H, Mishkin, F. S., Shin, H. S., Shin. K. (2012). Macroprudential Policies in Open Emerging Economies. NBER. Working Paper No. 17780, https://doi.org/10.3386/w17780 Přejít k původnímu zdroji...
    28. Hiebert, P., Klaus, B., Peltonen, T., Schüler, Y.S., Welz, P. (2014). Capturing the Financial Cycle in Euro Area Countries. European Central Bank, Financial Stability Review (November). Available at: https://www.ecb.europa.eu/pub/pdf/other/financialstabilityreview201411.en.pdf
    29. Illing, G. (2007). Financial Stability and Monetary Policy - a Framework. CESIFO. Working Paper Series No. 1971. Available at: https://ssrn.com/abstract=985275 Přejít k původnímu zdroji...
    30. IMF (2013). The Interaction of Monetary and Macroprudential Policies. International Monetary Fund.
    31. Ioannidou, V., Ongena, S., Peydro, J. L. (2008). Monetary Policy, Risk-Taking and Pricing: Evidence from a Quasi-Natural Experiment. Paper presented at the 9th Jacques Polak Annual Research Conference.
    32. Iwanicz-Drozdowska, M., Witkowski, B. (2016). Credit Growth in Central, Eastern, and South-Eastern Europe: The Case of Foreign Bank Subsidiaries. International Review of Financial Analysis, 43, 146-158, https://doi.org/10.1016/j.irfa.2015.11.010 Přejít k původnímu zdroji...
    33. Jiménez, G., Ongena, S., Peydro, J. L., Hazardous, J. S. (2008). Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk? Journal of the Econometric Society, 82(2), 463-505, https://doi.org/10.3982/ECTA10104 Přejít k původnímu zdroji...
    34. Kaminsky, G., Reinhart, G., Végh, C.A. (2004). When It Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies. NBER. Working Paper No. 10780, https://doi.org/10.3386/w10780 Přejít k původnímu zdroji...
    35. Kollintzas, T., Konstantakopoulou, I., Tsionas, E. (2011). Stylized Facts of Money and Credit over the Business Cycles. Applied Financial Economics, 21(23), 1735-1755, https://doi.org/10.1080/09603107.2011.583215 Přejít k původnímu zdroji...
    36. Laeven, L., Valencia, F. (2012). Systemic Banking Crises Database: An Update. International Monetary Fund. Working Paper No. WP/12/163. Přejít k původnímu zdroji...
    37. Landier, A., Sraer, D., Thesmar, D. (2011). The Risk-Shifting Hypothesis: Evidence from Subprime Originations. TSE. Working Paper No. 11.
    38. Malovaná S., Frait, J. (2016). Monetary Policy and Macroprudential Policy: Rivals or Teammates? Česká Národní Banka. Working Paper Series No. 6/2016. Přejít k původnímu zdroji...
    39. McGettigan, D., Moriyama, K., Noah, N., Ntsama, J., Painchaud, F., Qu, H., Steinberg, C. (2013). Monetary Policy in Emerging Markets: Taming the Cycle. IMF. Working Paper No. 13/96. Přejít k původnímu zdroji...
    40. Merrouche, O., Nier, E. (2010). What Caused the Global Financial Crisis?-Evidence on the Drivers of Financial Imbalances 1999-2007. International Monetary Fund. Working Paper No. 10/265, https://doi.org/10.2139/ssrn.1735474 Přejít k původnímu zdroji...
    41. Mohr, M. (2005) A Trend-Cycle(Season) Filter. European Central Bank. Working Paper No. 499. Přejít k původnímu zdroji...
    42. Nicolo, G. D., Dell'Ariccia, G., Laeven, L., Valencia, F. (2010). Monetary Policy and Bank Risk Taking. IMF Staff Position Note. Available at: https://www.imf.org/external/pubs/ft/spn/2010/spn1009.pdf
    43. Olszak M., Pipien M. (2016). Cross Country Linkages as Determinants of Procyclicality of Loan Loss Provisions. The European Journal of Finance, 22(11), 965-984, https://doi.org/10.1080/1351847X.2014.983138 Přejít k původnímu zdroji...
    44. Persson, M. (2009). Household Indebtedness in Sweden and Implications for Financial Stability - the Use of Household-Level Data. Bank for International Settlements. Papers No. 46. Available at: https://core.ac.uk/download/pdf/6863818.pdf
    45. Ross, M., Schmidt, U. (2011). The Importance of Time Series Extrapolation for Macroeconomic Expectations. Kiel Institute. Working Paper No. 1723.
    46. Shin, H. S. (2008). Procyclicality and the Search for Early Warning Indicators. International Monetary Fund. Working Paper No. WP/13/258. Přejít k původnímu zdroji...
    47. Smaga, P. (2014). The Concept of Systemic Risk. London School of Economics. SRC Special Paper No 5. Available at: https://ssrn.com/abstract=2477928
    48. Stremmel, H. (2015). Capturing the Financial Cycle in Europe. European Central Bank. Working Paper No 1811. Přejít k původnímu zdroji...
    49. Taylor, J. (2007). Housing and Monetary Policy. NBER. Working Paper No. 13682, https://doi.org/10.3386/w1368215105-5-10 Přejít k původnímu zdroji...

    Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah