IMF and London School of Economics Symposium — “Macroprudential Stress Test and Policies: A Framework”
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- IMF and London School of Economics Symposium — “Macroprudential Stress Test and Policies: A Framework”
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Event overview
- Event title: “Macroprudential Stress Test and Policies: A Framework”
- Dates: December 15–16, 2016
- Location: Washington D.C.
- Organizers: Systemic Risk Centre, London School of Economics; International Monetary Fund
- Purpose: Stress testing as a core element of the postcrisis macroprudential agenda in major financial centers
Project aims
- Present state-of-the-art macroprudential stress test methodologies, discussing modeling and implementation challenges.
- Provide a roadmap for future research and practical implementations in stress testing.
- Guide authorities on the use of Macroprudential Stress Tests (MaPSTs) to support macroprudential tool calibration and policies.
Agenda structure and session focus
- Day 1 (December 15, 2016)
- 8:30am — Registration (IMF HQ2 Conference Hall 1)
- 9:00am — Opening Remarks; Tao Zhang, Deputy Managing Director, IMF
- 9:15am — Session One: Report from MCM-LSE Working Group
- Chair: Jim Morsink, IMF, Deputy Director, Monetary and Capital Markets Department
- Presenters: Jon Danielsson (LSE) and Miguel Segoviano (IMF)
- 9:45am — Session Two: Objectives of Macro-Prudential Stress Testing
- Chair: Robert Macrae, London School of Economics
- Panelists: Jerome Henry (European Central Bank); Jose Berrospide (Federal Reserve Board)
- Focus: objectives of MaPST, usefulness for risk measurement and management, gaps in commonly used stress tests, enhancing MaPST effectiveness
- 10:30am — Coffee Break
- 11:00am — Session Three: Amplification: Conceptual and Empirical Frameworks
- Chair: Ron Anderson, London School of Economics
- Panelists: Rama Cont (Imperial Colleage); Itay Goldstein (University of Pennsylvania); Jon Danielsson (London School of Economics); Adrian Varley (Central Bank of Ireland)
- Focus: modelling approaches for amplification mechanisms; data and modelling constraints; nonlinear and time-changing contagion; sequencing of modelling and data development
- 12:30pm — Lunch
- 2:00pm — Session Four: Implementing Macro-Prudential Stress Testing
- Chair: Martin Cihak, Advisor, Monetary and Capital Markets Department, IMF
- Panelists: Hitoshi Mio (Bank of Japan); Amar Radia (Bank of England); Miguel Segoviano (IMF)
- Focus: frameworks to quantify systemic risk amplification mechanisms and embedding them in MaPST
- 3:30pm — Coffee Break
- 4:00pm — Session Five: Linking Macro-Prudential Stress Testing to Marcoprudential Policy
- Chair: Jon Danielsson, London School of Economics
- Panelists: Deepak Mohanty (Reserve Bank of India); Alan Elizondo (Banco de México); Pierluigi Bologna (Banca d'Italia)
- Focus: calibrating macroprudential policy tools based on MaPST; usefulness of quantitative metrics and qualitative information; practical calibration and methodological challenges
- 5:30pm — Cocktail Reception (IMF HQ2 Atrium)
- Day 2 (Friday, December 16, 2016)
- 9:00am — Keynote Address by Simon Johnson; Chair: Ratna Sahay, IMF
- 10:00am — Session Six: Institutional Frameworks, Governance, and Communication
- Chair: Udabir Das, IMF
- Panelists: Sergio Nicoletti-Altimari (ECB); Chris Goodspeed (HMT, UK); Willem Heeringa (Dutch National Bank)
- Focus: institutional factors, governance, accountability safeguards for MaPST; assessment of benefits and costs; communication of MaPST outputs
- 11:00am — Coffee Break
- 11:30am — Session Seven: Fitting Macro-Prudential Stress Testing into the Broader Policy Framework
- Chair: Dong He, IMF
- Panelists: Alexander Brazier (BoE); Cho Hoi Hui (HKMA); Martin Cihak (IMF); Benjamin Friedrich (EBA)
- Focus: complementarities and trade-offs between MaPST and micro prudential stress tests (MiPST); consistency when instruments are calibrated with MiPST vs MaPST; weighing information from MiPST and MaPST; interactions with monetary, fiscal, and capital flow management policies when calibrating MaPP instruments
- 12:30pm — Session Eight: Where do We Go from Here?
- Chair: Malcolm Knight, London School of Econommics
- Panelists: Sergio Nicoletti-Altimari (ECB); Alexander Brazier (BoE); Deepak Mohanti (RBI); Alan Elizondo (Banco de Mexico); Cho Hoi Hui (HKMA); Hitoshi Mio (BoJ)
- Focus: roundtable feedback; identify work agenda going forward; refine the Symposium background paper
Key themes, methodological challenges, and policy implications
- Key themes
- Embedding MaPSTs in the macroprudential policy toolkit and decision-making process.
- Modeling and implementation challenges for MaPST, including data gaps, nonlinear and time-varying contagion, and amplification mechanisms.
- Governance, institutional design, and communication strategies to ensure integrity and usability of MaPST outputs.
- Interaction and consistency between MaPST and MiPST calibrations, and with monetary, fiscal, and capital flow management policies.
- Methodological challenges highlighted
- Data limitations constraining implementation of amplification mechanisms.
- Changing nature of contagion: nonlinearity and time variation.
- Sequencing of modelling and data development for policymakers to follow.
- Policy implications and recommendations discussed
- Use MaPST outputs to support calibration of macroprudential policy tools, combining quantitative metrics and qualitative information.
- Develop institutional frameworks, governance, and accountability safeguards to embed MaPST in policy decision making.
- Consider complementarities and trade-offs between MaPST and MiPST when calibrating instruments, and account for interactions with other policy areas (monetary, fiscal, capital flow management).
Content in this bundle
- Mcm Lse Bologna Session5
- Amplification: conceptual and empirical frameworks
- Amplification: Conceptual and Empirical Frameworks
- Presentation title
- Remarks on fitting macroprudentialstress testing into the broader policy framework
- Slide 1
- Mcm Lse Segoviano Danielsson Session1
- Microsoft PowerPoint - Session4MSFINALPRINT.pptx
- Stress Test Issues
- Risk amplification mechanisms in the financial system — Rama CONT
- Presentación de PowerPoint