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Macroprudential Bulletin

Our Macroprudential Bulletin provides insight into the work we are currently doing in the field of macroprudential policy. Our goal is to raise awareness of macroprudential policy issues in the euro area by making our ongoing work and thinking in this field more transparent, and to encourage broader discussion on these key issues.

We aren’t trying to be transparent about our work just for the sake of it. This is also an opportunity to invite you to share your views with us by sending your feedback to ecb.macroprudential.bulletin@ecb.europa.eu. You can also send us an email if you want to be notified about future issues of the Macroprudential Bulletin.

June 2022

Issue 17

Stress testing and policymaking: an evolving field

Regulatory stress tests have expanded beyond their initial use as tools to assess the robustness of financial institutions. This Macroprudential Bulletin issue discusses their role today in policymaking, over a decade after they became widely used in response to the global financial crisis.

Overview

Articles

System-wide amplification of climate risk

Climate change is a major risk for the financial system. That is why system-wide stress tests are needed to assess the simultaneous impact of climate change on banks, funds and insurers. We find that their combined reactions to climate stress make losses in the financial system worse.

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Macroprudential stress testing: lessons from the pandemic

Our macroprudential stress testing framework was used to assess the financial policy response to the coronavirus (COVID-19) pandemic, providing guidance on economic developments, the use of capital buffers, and future macroprudential policy. The same methodologies could also be used in the post-pandemic world.

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Does the disclosure of stress test results affect market behaviour?

Publishing stress test results improves transparency and market discipline. It promotes financial stability by providing markets with new information, which helps them to better discriminate between banks. The results of this analysis confirm the certification role of stress tests.

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In focus

Stressing multiple sectors of the financial system

With the growing role of market-based finance, links between different parts of the financial sector can amplify shocks. Our equilibrium approach finds that financial shocks like those seen at the pandemic’s onset trigger balance sheet losses and a drop in risky asset prices for both banks and non-banks.

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