Flagship Report on Macro-Prudential Policy in the Banking Sector

European System of Financial Supervisio

Systemic Risk Spillovers in the European Banking and Sovereign Network *

Abstract We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high-dimensional and interconnected financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixedeffects quantile approach, which explicitly links time-varying interconnectedness to 1 systemic risk contributions. For the purposes of surveillance and regulation of financial systems, network dependencies in extreme risks are much more relevant than simple (mean) correlations. Thus, the framework provides a tool for supervisors, reflecting market's view of tail dependences and systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns in 2006-13, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how it is reflected in estimated network statistics and systemic risk measures. Finally, our evidence provides an indication that the fragmentation of the European financial system has peaked

Coordinating macroprudential policies within the Euro Area: the case of Spain

In the aftermath of the global financial crisis, there is consensus on the need for macroprudential policies to promote financial stability. However, the optimal way to implement such policies in the Euro area is a question open to debate, given that countries have to coordinate. In this paper, we propose a two-country, two-sector monetary union dynamic stochastic general equilibrium model (DSGE) with housing to analyze the optimal implementation of macroprudential policies in the Euro area. Currently, Spain is the only country within the EU that has not established a macroprudential regulator. We use Spain as a natural experiment to study the effects of a lack of coordination in the use of macroprudential policies in the European Monetary Union (EMU). We focus on a particular macroprudential policy, a rule regarding the loan-to-value ratio, which responds countercyclically to credit booms. We find that such a policy is welfare enhancing for the Euro area. Nevertheless, if one country does not implement the policy, but the rest of the EMU does, as in the current situation with Spain, this country still yields some benefits as a result of its partners' implementation of the policy because it gains from a more stable financial system without incurring any output costs. However, if all Euro countries actively implement the policy, the welfare gains for all of them are larger

Lessons from the "Euro-Lupus Cohort".

The "Euro-Lupus Cohort" is composed by 1,000 patients with systemic lupus erythematosus (SLE) that have been followed prospectively since 1991. These patients have been gathered by a European consortium - the "Euro-Lupus Project Group". This consortium was originated as part of the network promoted by the "European Working Party on SLE", a working group created in 1990 in order to promote research in Europe on the different problems related to this disease. The "Euro-Lupus Cohort" provides an updated information on the SLE morbidity and mortality characteristics in the present decade as well as defines several clinical and immunological prognostic factors.[Les leçons du « Cohort Euro-Lupus »] Le Cohort Euro-Lupus est composé de 1 000 patients atteints de lupus erythémateux disséminé et suivis prospectivement depuis 1991. Ces patients ont été colligés par le Groupe Européen du Projet Lupus (Euro-Lupus Project Group). Il s’agit d’un consortium né du groupe de travail sur le lupus (European Working Party on SLE) créé en 1990 afin de promouvoir la recherche européenne sur les différents problèmes associés à cette maladie. Le Cohort Euro-Lupus permet une mise au point de nos connaissances sur les caractéristiques de morbidité et de mortalité du LED dans la décennie en cours ainsi qu’une définition de plusieurs facteurs pronostiques cliniques et immunologiques

Systemic lupus erythematosus in Europe at the change of the millennium: lessons from the "Euro-Lupus Project".

The "Euro-Lupus Cohort" is composed by 1000 patients with systemic lupus erythematosus (SLE) that have been followed prospectively since 1991. These patients have been gathered by a European consortium--the "Euro-Lupus Project Group". This consortium was originated as part of the network promoted by the "European Working Party on SLE", a working group created in 1990 in order to promote research in Europe on the different problems related to this disease. The "Euro-Lupus Cohort" provides an updated information on the SLE morbidity and mortality characteristics in the present decade as well as defines several clinical and immunological prognostic factors

From me to us: The construction of family alliance.

Family alliance (FA) reflects the degree of family cooperation and engagement. The aim of this study was to determine the path explaining the construction of FA assessed with the Lausanne Trilogue Play (LTP). Following the development of a family from an individual (parent) to a triadic (family) perspective, this study examined a model including parent’s individual characteristics as predictors, the coparenting and the child’s temperament as mediators and the FA as an outcome. This longitudinal prospective and multi-informant study was based on a 3-waves research program. During pregnancy, a questionnaire assessing the parent’s personality (NEO-60; Aluja, Garcia, Rossier, & Garcia, 2005) and emotional competencies (TEIQue; Mikolajczak, Luminet, Leroy, & Roy, 2007) has been completed by each parent separately. At 6 months postpartum, they completed a questionnaire on coparenting (CPS; Feinberg, Fisher, & Kan, 2008). Finally, at 1 year postpartum, the child’s temperament (IBQ-R; Gartstein & Rothbart, 2003) was assessed by the parents and the families were observed in the LTP in order to measure their FA. The sample was made up of 62 non-referred families. Because of the weak correlations between child’s temperament and the FA, this mediator was not introduced in the model. Structural equations were run to examine both direct and mediated effects on family alliance. Two models were compared: (a) a partial mediation model composed of direct and indirect effects with parent’s characteristics as predictors and coparenting as a mediator of FA and (b) a full mediation model. The first model showed better goodness-of-fits. Besides, the relation between coparenting and FA became non-significant. Only the mother’s Conscientiousness and the father’s Emotional Competencies predicted FA. The discussion focused on the methodological and clinical implications of the results

Indirect contagion The policy problem. No 9 / January 2016

This paper represents an attempt to move systemic risk analysis closer to the holism of epidemiology. In doing so, we begin by identifying the fundamental channels of indirect contagion, which manifest even in the absence of direct contractual links. The first is the market price channel, in which scarce funding liquidity and low market liquidity reinforce each other, generating a vicious spiral. The second is information spillovers, in which bad news can adversely affect a broad range of financial firms and markets

Le jeu des (dis)continuités entre architecture et systèmes sociaux peut-il nous sortir de l'anthropocène ?

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