Macro-prudential Research Network (MaRs)

MaRs, an internal network for macro-prudential research, was launched in Spring 2010 by the European System of Central Banks, which consists of the 27 European Union (EU) national central banks and the ECB.

The financial and economic crisis that started in summer 2007 has shown that the macro-prudential aspects of financial supervision and regulation need to be significantly strengthened. As a result, in autumn 2010 the EU agreed to establish the European Systemic Risk Board (ESRB), which held its inaugural meeting in January 2011 and has the tasks of identifying and assessing emerging systemic risks, warning about material risks and making policy recommendations on how to contain them. However, considerable gaps remain in the analytical underpinnings of macro-prudential supervision and regulation.

Mandate

MaRs aims to develop core conceptual frameworks, models and/or tools that provide research support in order to improve macro-prudential supervision in the EU.

Chairman
Philipp Hartmann (ECB)
Secretary
Fiorella De Fiore and Gerhard Rünstler (both ECB)
Coordinators
Paolo Angelini (Banca d’Italia)
Laurent Clerc (Banque de France)
Carsten Detken (ECB)
Simone Manganelli (ECB)
Kateřina Šmídková (Česká národní banka)
External academic advisers
Professor Javier Suarez , Center for Monetary and Financial Studies (CEMFI)
Professor Hans Degryse, KU Leuven

Contact

mars@ecb.europa.eu

Research topics

The network will be conducting research over a two-year period in the following three areas.

Macro-financial models linking financial stability and the performance of the economy

This is MaRs’ primary research topic. It focuses on the integration of widespread financial instability and systemic risk in theoretical and empirical macro-financial models and capture the two-way relationship between the financial system and the real economy. This work also aims to take account of the fact that standard macroeconomic models do not include features of financial instability, such as bank defaults, illiquidity, feedback effects, multivariate extreme events and related non-linearities.

Early warning systems and systemic risk indicators

This line of research focuses on developing new indicators of systemic risk in areas that are not well covered yet and on helping to establish a comprehensive system of early warning models and indicators, notably in the context of countries with different financial structures. It seeks to identify imbalances, such as asset bubbles, credit booms and over-indebtedness, and to distinguish them from fundamentally justified developments.

Assessing contagion risks

This area of research aims to address particularly some issues in the area of cross-border contagion risk in Europe. Other topics to be analysed include: the role of non-bank financial intermediaries in transmitting instability, feedback and amplification effects in contagion phenomena as well as the differences between contagion and the unravelling of imbalances.

Recent conferences Documents and links

Speeches and documents

  • Introductory remarks by Benoît Cœuré, at concluding conference of the Macro-prudential Research (MaRs) Network of the European System of Central Banks, 24 June 2014, en
  • Speech by Vítor Constâncio at concluding conference of the Macro-prudential Research (MaRs) Network of the European System of Central Banks, 23 June 2014, en
  • Results of the ESCB Macro-prudential Research Network, presentation by Philipp Hartmann at concluding conference of the Macro-prudential Research (MaRs) Network of the European System of Central Banks, 23 June 2014
  • MaRs report , 20 June 2014
  • Opening remarks by Vítor Constâncio at the second conference of the ESCB Macroprudential Research (MaRs) Network, 30 Oct 2012, en
  • Report on the first two years of the macro-prudential research network , presentation by Philipp Hartmann, European Central Bank and Chair of MaRs, 30 October 2012
  • Speech by Stephen Cecchetti, Economic Adviser and Head of the Monetary and Economic Department, Bank for International Settlements, 30 October 2012, The future of financial intermediation and regulation
  • Macro-prudential policy: strengthening the foundations, enhancing the toolkit and taking action, speech by Vítor Constâncio, 5 Oct 2011, en
  • Macro-prudential supervision in Europe, speech by Vítor Constâncio, 27 Sep, en
  • Macro-prudential Regulation as an Approach to Contain Systemic Risk: Economic Foundations, Diagnostic Tools and Policy Instruments, speech by Jean-Claude Trichet, 27 Sep 2010, en

Macro-prudential Research Network (MaRS) publications

No. 1621
11 Dec 2013
Conditional and joint credit risk
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No. 1604
05 Nov 2013
Setting countercyclical capital buffers based on early warning models: would it work?
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No. 1599
16 Oct 2013
Disentangling the bond-CDS nexus: a stress test model of the CDS market
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No. 1597
15 Oct 2013
Predicting distress in European banks Published in: Journal of Banking & Finance (forthcoming)
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No. 1592
24 Sep 2013
Bridging the banking sector with the real economy: a financial stability perspective
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No. 1591
24 Sep 2013
Sudden stop of capital flows and the consequences for the banking sector and the real economy
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No. 1589
18 Sep 2013
Macroprudential policy instruments and economic imbalances in the euro area
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No. 1575
14 Aug 2013
Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K.
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No. 1574
12 Aug 2013
A market-based approach to sector risk determinants and transmission in the euro area
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No. 1563
08 Jul 2013
A financial systemic stress index for Greece
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No. 1558
20 Jun 2013
The dynamics of spillover effects during the European sovereign debt crisis
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No. 1551
10 Jun 2013
Bubbles, bank credit and macroprudential policies
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No. 1546
13 May 2013
How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment
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No. 1541
02 May 2013
Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?
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No. 1533
15 Apr 2013
Optimal asset structure of a bank - bank reactions to stressful market conditions
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No. 1531
10 Apr 2013
Exploring the steady-state relationship between credit and GDP for a small open economy: the case of Ireland
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No. 1524
07 Mar 2013
Bank leverage cycles
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No. 1522
06 Mar 2013
What does a financial shock do? First international evidence Published in: Economic Policy, Vol 27 (71), July 2012: pp 407-445
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No. 1516
15 Feb 2013
Bank-firm relationships and the survival of non-financial firms during the financial crisis 2008-2009
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No. 1514
15 Feb 2013
Booms and systemic banking crises
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No. 1510
06 Feb 2013
Macro-networks: an application to the euro area financial accounts
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No. 1509
01 Feb 2013
On policymakers' loss function and the evaluation of early warning systems Published in: Economics Letters, Vol 119 (1): pp 1-7.
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No. 1506
24 Jan 2013
Assessing interbank contagion using simulated networks Published in: Computational Management Science, Vol 10 (2), 2013: pp 157-186
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No. 1497
21 Nov 2012
Bank capital and liquidity creation: Granger-causality evidence Published in: Journal of Financial Services Research, Vol 45, 2014, Issue 3, pp 341-361
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No. 1495
17 Nov 2012
Bubbles, banks and financial stability
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No. 1490
05 Nov 2012
A model of borrower reputation as intangible collateral
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No. 1489
05 Nov 2012
The business cycle implications of banks' maturity transformation
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No. 1488
05 Nov 2012
When the cat's away the mice will play: does regulation at home affect bank risk taking abroad? Published in: Journal of Financial Economics, Vol 108 (3), 2013: pp 727-750
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No. 1487
30 Oct 2012
Asymmetric information in credit markets, bank leverage cycles and macroeconomic dynamics
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No. 1486
22 Oct 2012
Leading indicators of crisis incidence: evidence from developed countries Published in: Journal of International Money and Finance, Vol 35, June 2013: pp 1-19.
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No. 1485
19 Oct 2012
Banking, debt and currency crises: early warning indicators for developed countries Published in: Journal of Financial Stability, Vol 15, 2014, pp 1-17
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No. 1464
29 Aug 2012
An MVAR framework to capture extreme events in macro-prudential stress tests Published in: The Journal of Risk Model Validation, December 2013 (forthcoming)
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No. 1460
15 Aug 2012
Financial structures and the real effects of credit-supply shocks in Denmark 1922-2011
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No. 1459
15 Aug 2012
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 Published in: Journal of Business and Economic Statistics, Vol 30 (4), 2012: pp 521-532
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No. 1458
15 Aug 2012
Business cycles, monetary transmission and shocks to financial stability: empirical evidence from a new set of Danish quarterly national accounts 1948-2010
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No. 1457
15 Aug 2012
Excessive bank risk taking and monetary policy
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No. 1449
11 Jul 2012
Monetary and macroprudential policies
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No. 1445
18 Jun 2012
Credit risk in general equilibrium
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No. 1427
15 Mar 2012
Do bank characteristics influence the effect of monetary policy on bank risk? Published in: Economic Letters, Economics Letters, Vol 117(1), 2012: pp 220-222
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No. 1426
12 Mar 2012
CISS - a composite indicator of systemic stress in the financial system
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No. 1420
03 Feb 2012
Determinants of credit to households in a life-cycle model
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No. 1419
01 Feb 2012
The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal Published in: Journal of Empirical Finance, 2013 as "The euro area's sovereign debt crisis: Flight-to-liquidity and the spillover mechanisms" (forthcoming)
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No. 1394
04 Nov 2011
Bank risk during the financial crisis: do business models matter?
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No. 1382
21 Sep 2011
Mapping the state of financial stability Published in: Journal of International Financial Markets, Institutions and Money, Vol 26, October 2013: pp 46-76
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No. 1381
12 Sep 2011
Global crises and equity market contagion Published in: Journal of Finance (forthcoming) as "The global crisis and equity market contagion"
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No. 1347
01 Jun 2011
Sovereign credit ratings and financial markets linkages: application to European data Published in: Journal of International Money and Finance, Vol 31 (3), 2012: pp 606-638.
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No. 1327
13 Apr 2011
Systemic risk diagnostics: coincident indicators and early warning signals
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No. 1319
07 Apr 2011
Fiscal developments and financial stress: a threshold VAR analysis
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No. 1317
07 Apr 2011
Financial imbalances and financial fragility
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No. 1311
24 Mar 2011
Macro-financial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events Published in: Journal of Banking & Finance, Vol 37 (7), July 2013: pp 2183-2195.
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No. 1255
14 Oct 2010
Predicting recession probabilities with financial variables over multiple horizons
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No. 1211
10 Jun 2010
Efficiency and risk in european banking Published in: Journal of Banking and Finance, forthcoming.
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