L'objectif de cette thèse, composée de quatre articles empiriques et théoriques, est d'étudier l'implication des banques centrales dans la stabilité financière - définie comme un état stable et élevé de confiance dans la capacité du système financier à faciliter l'allocation des ressources économiques, gérer les risques, et à résister aux chocs - et de discuter de leurs nouvelles responsabilités macroprudentielles. La crise financière mondiale a fait évoluer la régulation et la supervision financières d'une perspective microprudentielle basée sur la résilience des institutions prises individuellement à une perspective macroprudentielle qui prend en compte les interactions entre les institutions financières, les externalités liées à leurs décisions, et aussi les effets du cycle financier sur le cycle économique et sur la stabilité financière. Cette thèse analyse le policy-mix des politiques monétaire - ciblant le cycle économique –et macroprudentielle -ciblant le cycle financier -ayant toutes les deux un impact sur la stabilité des prix et les conditions financières. En effet, ces politiques fonctionnent grâce à des canaux de transmission dont certains sont communs. Une attention particulière est accordée, au-delà la politique macroprudentielle dans union monétaire hétérogène comme la zone euro - où les pays connaissent des conditions macroéconomiques différenciées - en termes de stabilisation financière et macroéconomique. Partant du constat qu'un taux d'intérêt unique est adapté à la moyenne de la zone mais pas aux besoins de chacun des pays, la politique macroprudentielle pourrait compenser l'absence de politique monétaire autonome dans chaque pays. Cela améliorerait le degré d'optimalité de la zone monétaire. / The aim of this thesis, composed of four academic papers, is to apply empirical and theoreticalanalyses to study the involvement of central banks in financial stability-confidence in the financial system's ability to facilitate allocation of economic resources, manage risks, and withstand shocks -and to discuss their recent macroprudential responsibilities. The global financial crisis (GFC) shitied the perspective of financial regulation - rules that financial institutions have to comply with in order to ensure effective risk management and to with stand financial shocks - and supervision - ensuring that financial institutions follow these rules - from a microprudential perspective based on the resilience of individual institutions to amacroprudential (henceforth · "MaP") perspective. The MaP perspective takes into account the interactions of financial institutions, the externalities related to their decisions, and also the effects of the financial cycle on central bank policy and financial stability. This thesis analyses the policy mix of monctary and macroprudential policies which both have an impact on price stability and financial conditions and which operate through common or overlapping channels. A particular focus is given to the role of MaP policy in heterogeneous monetary union such as the Eurozone- where countries are experience in different macroeconomic conditions - in terms of financial and macroeconomic stabilisation. Since a single interest rate is unlikely to fit circumstances in all countries, MaP policy could compensate the Jack of autonomous monetary policy in each country as both policies share many transmission channels. This enhances the optimality's degree of the currency area.

What is the optimal interaction between macroprudential and fiscal policy to foster financial stability? This thesis evaluates whether policy interaction can impact private debt growth. First, a model is built with borrowing constraints that illustrate the links between private and public debt dynamics. The derived hypothesis and theoretical predictions indicate that a tighter macroprudential stance is reinforced by prudential fiscal policies, conditional on the initial level of public debt and scope for countercyclical fiscal policies. Second, the hypothesis is tested by using a dynamic panel data model for a sample of 49 advanced and emerging economies over the period 2000-2013. Whilst the interaction term alone yields insignificant results, interesting inferences can be drawn of the findings within the context of existing literature. The suggestion is that there may exist two opposing effects associated with the interaction between macroprudential and fiscal policy on private debt. Moreover the outcome of this interaction is contingent upon the levels of public debt and private indebtedness.

The real estate market in Sweden has experienced a significant increase in prices since the late 1990s, with prices for building materials and labour increasing by almost 60% more than consumer prices. Interest rates and mortgage lending have also impacted the real estate market, with higher disposable income and lower real interest rates accounting for almost 90% of the price increase. Population growth and migration have also impacted the demand for housing in Sweden's metropolitan areas. Regulatory measures have also impacted the housing market, with macroprudential policies introduced to stabilize the market and prevent housing bubbles. This paper examines the macroeconomic factors that affect the average square meter price for tenant-owned apartments in Sweden's three metropolitan areas, Greater Stockholm, Greater Gothenburg, and Greater Malmo. The variables studied are disposable income, unemployment rate, OMXSPI index, mortgage interest rates, new developments, an amortization dummy, and a trend variable. Two regression models have been produced where the difference is that the trend variable is included in only one of them (model 2). The result of the study shows that all variables are statistically significant in model (1).

Considérant les fragilités d’une union monétaire hétérogène, ainsi que l’incapacité de la politique monétaire unique pour stabiliser les cycles financiers nationaux, des nouveaux outils pour sauvegarder la stabilité financière sont de rigueur dans l’Union Economique et Monétaire (UEM). En réponse à la crise financière, les économies avancées ont fortifié la boite à outils avec l’approche macroprudentielle à la réglementation prudentielle ; à savoir la pratique de se servir des instruments prudentiel dans le but de protéger la santé du système financier dans sa globalité et l’économie réelle, et plus seulement la santé des banques individuellement. La politique macroprudentielle porte sur ses épaules la responsabilité de maîtriser le risque systémique dans l’Union, mais les hétérogénéités nationales qui la caractérisent entraînent des redoutables défis. Cette thèse a comme but d’enrichir le débat en examinant comment les hétérogénéités macrofinancières et institutionnelles peuvent conditionner la conduite des politiques macroprudentielles. Il s’agit d’un sujet souvent abordé dans la littérature macroéconomique d’après-crise, mais la réflexion est souvent fondée sur des prémisses ne prenant pas compte des complexités inhérentes aux concepts fondamentaux, tels que la stabilité financière elle-même. Plutôt que construire des modèles davantage sophistiqués visant à incorporer toutes les dimensions du phénomène, il est possible d’améliorer l’exercice de modélisation en portant en réévaluant les bases conceptuelles. Pour cette raison, le premier chapitre est dévoué à un survol critique de la littérature dans lequel on identifie plusieurs points de tension souvent ignorés, puis on les interprète dans le contexte de l’UEM. Sur la base des enseignements du chapitre I, le chapitre II aborde la question de s’il est souhaitable que les régulateurs se soucient de stabiliser le cycle financier national en présence d’effets de report transfrontaliers, tel que dans le régime en vigueur. Dans ce but, on se sert d’un modèle statique Néo-Keynésien à deux pays où l’utilisation du coussin de fonds propres contracyclique dans le cœur nuit à la stabilité financière de la périphérie via le marché interbancaire. En comparant une règle de stabilisation nationale à un régime où le régulateur du cœur internalise les effets de report, on cible des scénarios où le statu quo se révèle sous-optimal. Finalement, le chapitre III s’intéresse aux importantes divergences institutionnelles qui existent entre les régulateurs nationaux. En examinant l’information officielle, ainsi que les évaluations du FMI et du FSB, on documente les différences qualitatives dans le cadre de gouvernance à travers six axes : mécanismes de coordination, complétude des instruments, indépendance, fluidité du processus de décision, force du mandat légal, degré de transparence et recours à la communication. Sachant que les caractéristiques institutionnelles affectent la vitesse de réaction, on propose un index synthétique comparatif pour capturer quantitativement comment ces divergences institutionnelles sont susceptibles d’influencer le biais à l’inaction. On trouve que les pays sont inégalement protégés contre le biais d’inaction, mais qu’il existe différentes approches possibles pour créer des cadres de gouvernance résilients. / Given the fragilities of a heterogenous monetary union and the inability of the single monetary policy to lean against the wind of national financial cycles, new policies to defend financial stability in the European Monetary Union (EMU) are of the upmost importance. In response global financial crisis, advanced economies have supplemented their policy arsenal with a macroprudential approach to financial regulation, the practice of using prudential regulation to protect the health of the financial system and the economy as a whole, rather than just the health of individual institutions. Policymakers have unambiguously placed the task of containing systemic financial risk on the shoulders of macroprudential policy, but the national heterogeneities that characterize the Euro area pose significant challenges. The purpose of this thesis dissertation is to enrich the debate surrounding Euro area macroprudential policy by exploring how macrofinancial and institutional heterogeneity can condition its proper conduct. Macroprudential policy is a popular subject in post-crisis macroeconomics, but analysis is often built on premises that fail to acknowledge the complexities inherent to its most basic concepts, such as financial stability itself. Rather than building ever-more complex models that aim to incorporate all the dimensions of the phenomenon, the problem can be addressed by conducting a critical reflection on the field’s conceptual bases before formulating a model’s assumptions. In the first chapter, we conduct a critical review of the literature and identify several points of tension, interpreting their implications for the Euro area case. Based on the insights of chapter I, chapter II revisits the question of whether it is ideal for regulators to keep a narrow focus on national financial stabilization in the presence of cross-border spillovers, as is currently done. To do so, we build a static two-country New-Keynesian model where countercyclical capital regulation in the core affects financial stability in the periphery through the interbank market. By comparing national stabilization rules to a regime where the core regulator internalizes the spillover, we identify scenarios where the status quo is suboptimal. Finally, chapter III examines the significant institutional differences that exist among EMU national regulators. By reviewing official information , as well as assessment reports from the IMF and the FSB; we map the qualitative differences of national governance frameworks across six dimensions: presence of coordination mechanisms, completeness of instruments, independence, decision-making expeditiousness, strength of the legal mandate, use of communication and transparency. Given that institutional characteristics influence reactivity, we aim to quantify how this institutional heterogeneity affects the vulnerability to inaction bias through a comparative synthetic index. We find that countries are unequally protected against inaction bias, but there are several possible approaches to building robust governance frameworks.

本研究欲以分量迴歸的方法估計出台灣上市櫃金融控股公司的VaR、CoVaR及其對台灣金融市場的風險溢出，做為總體審慎監理原則下具有抗景氣特色之風險衡量參考指標。我們亦透過金控公司間之CoVaR，觀察金控公司間風險交互影響程度，盼可提供各金控公司做為個體審慎監理原則下風險管理之參考指標。 本研究包含四大特色：一、運用前期市場資料可估計下期含有條件、共變、傳染、貢獻等特性之風險值，也就是CoVaR；二、透過各家金控對市場之∆CoVaR可觀察各金控公司系統風險貢獻程度差異；三、可觀察金控公司間相互交叉影響程度；四、運用金融機構特性預測未來系統風險。 本研究以信用利差、長短期利差、流動性利差、匯率變動、加權指數報酬、隱含波動度變動、金控股價報酬等市場資料，透過分量迴歸估計損失機率為1%及5%之台灣金融控股公司VaR及CoVaR，並計算市場風險溢出─∆CoVaR研究各金融機構對系統風險之邊際貢獻。且以槓桿比率、市值帳面比、相對規模及資產負債不對稱比例等金融機構特性相關變數預測未來∆CoVaR，做為總體審慎監理原則下之風險管理參考指標。 本研究結果發現對台灣金融市場系統風險溢出貢獻較大的為玉山金、中信金、台新金及國泰金；國票金、永豐金、第一金及元大金則為系統風險溢出貢獻較低者。預測結果部分發現損失機率為1%時，以預測未來兩季之∆CoVaR效果較佳，預測損失機率為5%時則以預測未來三季之∆CoVaR效果較佳，顯示資料對不同的尾端損失機率分配影響顯現時間也不相同。 / In this thesis, we intend to estimate Taiwanese financial holding company’s VaR, CoVaR and risk spillover to Taiwan financial market, and apply these to macroprudential risk management. In addition, we intend to develop crossover CoVaR between financial holding companies, offering risk management referral benchmark under microprudential principle to those companies. There are four features in this thesis. First, we use previous market data to estimate the conditional, comovement, contagion, and contributing VaR - CoVaR. Second, by ∆CoVaR of the institutions to the market, we can observe the holding companies’ systematic risk contribution. Third, we can observe the crossover effect of the holding companies. Last, we could use the characteristics of the institutions to predict future systematic risk. We particularly use credit spread, slope of yield curve, liquidity spread, change of exchange rate, return of market stock index, change of implied volatility and holding company’s stock price, by quantile regression, to predict the VaR and CoVaR of Taiwan’s holding companies when the probability to loss is 1% and 5%. Then we calculate market systematic risk spillover, ∆CoVaR, to observe the marginal systematic risk contribution of the institutions. Moreover, we use leverage, market-to-book ratio, relative size and maturity mismatch to predict forward ∆CoVaR, offering a reference to macroprudential risk management. Our empirical results show that in Taiwan financial market, the top four systematic risk contributors of holding companies are Esun Financial Holding, Chinatrust Financial Holding, Taishin Financial Holding and Cathay Financial Holding; the smallest ones are Waterland Financial Holding, Sino Financial Holding, First Financial Holding and Yuanta Financial Holding. We also find out that when loss probability is 1%, predicting ∆CoVaR after two seasons is better; when loss probability is 5%, predicting ∆CoVaR after three seasons is more significant. It shows that when the tail is different, the effect time is also different.

Supervision of financial activity Abstract The activity of entities operating on the financial market is one of the most regulated ones. Economists generally agree that services provided by entities in the financial system are so vital for the functioning of the economy that the overgrown regulatory rules are well- founded. In response to the global financial crisis, there has been a significant development in the regulation and supervision of the financial system, in particular the expansion of the prudential rules of major institutions and the emergence of new areas of macro-prudential supervision and resolution supervision. These are largely the subject of the submitted diploma thesis. The aim of the thesis is to analyze the supervision of the financial system of the Czech Republic in the perspective of institutional and functional classification and in context with their development after the global financial crisis. While the theoretical part of the thesis defines the characteristics and models of the institutional organization of the supervisory authorities, the analytical part identifies their elements projected into the Czech legal system and analyzes the role of the Czech National Bank as a supervisory body of the financial system of the Czech Republic, integrated both from an institutional and a...

Submitted by Marilia Taveira (marilia.taveira@gmail.com) on 2012-11-06T15:02:22Z No. of bitstreams: 1 Dissertação_Marilia_Final_PosDefesa.pdf: 823265 bytes, checksum: 5a33364964aaba850db6b89019c42d01 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2012-11-06T15:06:12Z (GMT) No. of bitstreams: 1 Dissertação_Marilia_Final_PosDefesa.pdf: 823265 bytes, checksum: 5a33364964aaba850db6b89019c42d01 (MD5) / Made available in DSpace on 2013-02-04T13:08:59Z (GMT). No. of bitstreams: 1 Dissertação_Marilia_Final_PosDefesa.pdf: 823265 bytes, checksum: 5a33364964aaba850db6b89019c42d01 (MD5) Previous issue date: 2012-05-31 / Este estudo tem dois objetivos principais. O primeiro, discutir o propósito da popularização das políticas macroprudenciais no pós-crise – que surgiram como uma das soluções para a complexa relação entre estabilidade de preços e estabilidade financeira – suas vantagens em relação à abordagem anteriormente predominante – as políticas microprudenciais – e formas de interação com a tradicional política monetária. O segundo grande objetivo reproduzir um modelo da geração novo-keynesiana que contempla um sistema bancário e características que permitem replicar a condução de uma política macroprudencial (colaterais, depósitos compulsórios, requerimentos mínimos de capital) a fim de analisar a resposta de variáveis macroeconômicas a mudanças nestes parâmetros. / This study has two main goals. The first one is to discuss the popularization of macroprudential policies in the after crisis, as a solution for the complex linkage between financial stability and price stability, its benefits compared to the previous approach – the microprudential regulation – and the interaction between macroprudential and conventional monetary policies. The second main goal is to simulate a DSGE model with a banking system and subject to reserve requirements and collateral requirements that allow one to assess the effects of macroprudential tools utilization over macroeconomic variables.

Diploma thesis is focused on the issue of financial cycle. It has theoretical character and it is based on foreign sources. Diploma thesis describes the definition of financial cycle, its interactions with business cycle and moreover it explores sychronization of cycles. Furthermore financial cycle indicators and measures are analyzed. The reactions of macroprudential, fiscal and monetary policy are also discussed in the thesis. In particular, the attention is drawn to theoretical view on countercyclical buffer. The last part is devoted to the setting of countercyclical buffer in chosen european countries.

This thesis deals with stress testing of the banking sector. Stress tests are a set of analytical tools used to test the resilience and financial stability of the banking sector. At the beginning of the work financial stability and systemic risk impact not only in the form of sys-temically important financial institutions are discussed. Followed by a chapter on stress tests, which describes historic development of stress testing approaches to testing of individual banking risks and their implementation in the form of stress testing. Stress testing methodo-logy is described primarily from the perspective of the Czech National Bank, the importance of banking regulation and supervision in Basel III is also presented. In the final chapter of the thesis there are commented results of Czech National Bank's stress tests, and EU wide stress tests 2014, launched in cooperation with European Banking Authority, European Central Bank and the European Systemic Risk Board.

The final thesis follows the effort of the European Union to transfer responsibility for issues in the banking sector from taxpayers to its shareholders and creditors. It adopts many new tools and measures. The first part of the thesis is devoted to the banking union project, which unifies the supervision and procedures for solving the crisis at the European level. Emphasis is placed on the newly adopted Single resolution mechanism. Since the adopted legislation does not apply exclusively to the Eurozone countries the second part of the thesis analyses the implementation of the BRRD into Czech law, and the related amendments concerning the Czech banking sector. The aim of the thesis is to analyse the crisis resolving procedure, which is specified in the third chapter on the example of a fictitious bank. The example monitors tools and measures that can be used in various life stages of a bank. It is mainly based on the rules laid down in BRRD and the Czech legislation ZOPRK.