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Antonio Sánchez Serrano

14 March 2017
WORKING PAPER SERIES - No. 39
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Abstract
The build-up of risks in advanced economies has seen a lot of research efforts in the recent years, while similar research efforts on emerging economies have not been so strong and, when undertaken, have focused mostly on its international dimension. Simultaneously, the financial system of the emerging economies has substantially developed and deepened. In our paper, we construct an index of vulnerabilities in emerging countries, relying solely on data available at international organisations. We group indicators around four poles: valuation and risk appetite, imbalances in the non-financial sector, financial sector vulnerabilities, and global vulnerabilities. On purpose, we depart from early warning models or any other kind of complex econometric constructs. Simplicity and usability are the two key characteristics we have tried to embed into our index of vulnerabilities. We use the results to try to create a narrative of the evolution of vulnerabilities in emerging economies from 2005 to the third quarter of 2015, using innovative data visualisation tools as well as correlations and Granger causalities. We complement our analysis with a comparison between our index of vulnerabilities and the Credit-to-GDP gap.
JEL Code
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
F65 : International Economics→Economic Impacts of Globalization→Finance
G01 : Financial Economics→General→Financial Crises
G15 : Financial Economics→General Financial Markets→International Financial Markets
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
1 October 2018
ADVISORY SCIENTIFIC COMMITTEE REPORT - No. 7
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Abstract
The emergence and accumulation of non-performing loans (NPLs) on banks’ balance sheets is commonly considered a microprudential issue. NPLs come to the attention of macroprudential authorities when they weaken a significant part of the financial system, threatening its stability or impairing one or more of its core functions, such as the provision of credit to the real economy. On a conceptual level, various imperfections may call for policy actions on the management of NPLs. These include unaddressed externalities, economies of scale and coordination failures, institutional distortions (stemming from the accounting, regulatory and tax treatment of NPLs or the judicial and market structures needed for their efficient resolution) and moral hazard vis-à-vis the providers of the banks’ safety net.
4 June 2019
ADVISORY SCIENTIFIC COMMITTEE REPORT - No. 8
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Abstract
Regulatory action in response to the global financial crisis, together with broader developments in finance and society, have materially expanded regulation in the financial sector. While there is a general consensus on the need for regulation, there is much less agreement on whether recent increases in the complexity of regulation are necessary and appropriate. As a result, we are seeing a strong pushback from the financial industry, which is arguing that overly complex regulation has led to financial institutions becoming overburdened, hampering their ability to provide financial services efficiently.
Related
17 June 2019
ADVISORY SCIENTIFIC COMMITTEE REPORT - No. 9
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Abstract
Exchange-traded funds (ETFs) are hybrid investment vehicles that track an index or a basket of assets, combine features of open-end and closed-end mutual funds, and are continuously traded on liquid markets. They are one of the most popular financial innovations in recent decades: ETFs have grown greatly in size, diversity, scope, complexity and market significance. Drawing on the growing literature in this area, this report assesses possible channels through which ETFs may affect systemic risk. The increasing availability of ETFs can affect investors’ behaviour, by allowing them to pursue new strategies to seek return, manage risk and access new asset classes. Such changes in investors’ behaviour may in turn impact the functioning of financial markets, particularly in times of market stress. Empirical research has so far identified three effects.
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11 February 2020
ADVISORY SCIENTIFIC COMMITTEE REPORT - No. 10
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Abstract
This report elucidates the risk channels for EU economies associated with international financial integration and provides an overview of the macroprudential policy options that are available to address these risks.1 It builds on the main insights from the rich academic literature developed recently to create a narrative of the role of global variables for the conduct of macroprudential policy at a national level. The report reviews the evidence on the cross-border spillovers of domestic macroprudential policies (MPPs). It also highlights key policy areas for making macroprudential policy as effective as possible. Annex 1 presents findings from several new research papers across the European System of Central Banks.
13 July 2020
OCCASIONAL PAPER SERIES - No. 17
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Abstract
Pension schemes have a significant influence on the saving and consumption decisions of households. Similarly, contributions to pension arrangements are substantial expenditures for national governments and also for corporations, depending on the prevailing pension system. Beyond this, pension schemes play an important role in the economy, channelling savings into investments through capital markets. However, demographic factors and the macroeconomic environment (low interest rates, low growth and low productivity) are raising concerns about the sustainability of pension schemes over the long term, in particular for those of a defined benefit type. Their impact on pension schemes and the way to adjust to them have been under the consideration of national and international institutions for some time. In principle, Pillar 1 pension schemes (i.e. those sponsored by the government) would be more affected by demographic factors, whereas the macroeconomic environment would pose a larger challenge to Pillar 2 and 3 pension schemes (i.e. those where the employer and employees contribute to the scheme, and the residual category, respectively).
JEL Code
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
D15 : Microeconomics→Household Behavior and Family Economics
H55 : Public Economics→National Government Expenditures and Related Policies→Social Security and Public Pensions
J32 : Labor and Demographic Economics→Wages, Compensation, and Labor Costs→Nonwage Labor Costs and Benefits, Retirement Plans, Private Pensions