Three essays on macroprudential policy

This doctoral thesis gathers three studies on different aspects of macroprudential policy and financial stability. The research questions featured in each of its parts are to be seen as complementary: one chapter concentrates on mortgage credit markets, another one explores the business decisions of banking institutions, while the remaining one considers the potential international implications of borrower-based measures.The first paper introduces a simplified picture of the mortgage credit market and itsbehaviour under regulatory constraints related to borrower-based macroprudential policies. More precisely, the chapter presents an assessment of the effects of loan-to-value (LTV) ratiocaps for housing mortgages using an agent-based model. Sellers, buyers and banks interact within a computational framework that enables the application of LTV caps to a one-stephousing market. The initial exercise, which relies upon simulated distributions of buyers and sellers, is followed by a more realistic setup calibrated through actual European data from the Household Finance and Consumption Survey. In both cases, the application of an LTV cap results in a modified distribution of buyers along property values, bidding prices and properties sold, depending on the shape of the probability distributions of the LTV ratio, wealth and debt-to- income ratios considered. The results are of similar magnitude to other studies in the literature embodying other analytical approaches and suggest that this methodology can potentially be used to gauge the impact of common macroprudential measures..

Inflation in the United States: recent developments and outlook

Artículo de revistaGlobal inflation rates have increased since early 2021, especially in the United States, where there has been an upward surprise in recent months. Part of the US inflation increase is due to a statistical phenomenon stemming from the comparison of current and previous-year prices, which were marked by an across-the-board decline in activity. Further, the economic recovery has prompted a rise in prices in the sectors most affected by the pandemic, it has accentuated certain supply and logistics disruptions, and it has been accompanied by an increase in the price of the energy component. While these factors are considered to be transitory, three upside risks to prices may be identified: first, wage pressures arising from the labour supply and demand mismatch; second, a greater-than-expected inflationary effect of the fiscal stimulus introduced in response to the pandemic; and third, a possible de-anchoring of medium-term inflation expectations. In any event, these transitory effects are expected to feed through relatively moderately to euro area inflation

Measuring the procyclicality of impairment accounting regimes: a comparison between IFRS 9 and US GAAP

Este artículo pretende comparar el comportamiento cíclico del provisionamiento para riesgo de crédito bajo varios regímenes contables, en particular IAS 39, IFRS 9 y US GAAP. Modelizamos el impacto del deterioro crediticio en la cuenta de pérdidas y ganancias en los tres casos. Nuestros resultados sugieren que IFRS 9 es menos procíclico que su antecesor (IAS 39) pero más procíclico que US GAAP, puesto que requiere provisionar el crédito no deteriorado (Stage 1) únicamente a un año vista. En contraste, bajo US GAAP las pérdidas para toda la vida del crédito se provisionan en origen, lo que hace que el volumen de nuevo crédito y las pérdidas incurridas estén negativamente correlacionadas. Lo anterior conduce a provisiones relativamente mayores (menores) durante las fases expansivas (contractivas) del ciclo financiero. En todo caso, la menor prociclicidad de US GAAP se alcanza a costa de un aumento considerable de las provisiones.The purpose of this paper is to compare the cyclical behavior of various credit impairment accounting regimes, namely IAS 39, IFRS 9 and US GAAP. We model the impact of credit impairments on the Prot and Loss (P&L) account under all three regimes. Our results suggest that although IFRS 9 is less procyclical than the previous regulation (IAS 39), it is more procyclical than US GAAP because it merely requests to provision the expected loss of one year under Stage 1 (initial category). Instead, since US GAAP prescribes that lifetime expected losses are fully provisioned at inception, the amount of new loans originated is negatively correlated with realized losses. This leads to relatively higher (lower) provisions during the upswing (downswing) phase of the financial cycle. Nevertheless, the lower procyclicality of US GAAP seems to come at cost of a large increase in provisions

Awareness of pandemics and the impact of COVID-19

La conciencia de los individuos y las sociedades sobre el alcance de las infecciones víricas y otros riesgos de cola puede influir en el impacto socioeconómico que estas dejan a lo largo del tiempo. La literatura muestra que la exposición a episodios negativos o extremos durante la trayectoria vital de las personas puede continuar afectándoles sustancialmente más adelante, ya que su percepción de la probabilidad de que estos eventos ocurran en el futuro se ve alterada. Este artículo utiliza la exposición histórica de un país a epidemias y otros eventos catastróficos como un instrumento de la conciencia de experiencias previas. Los resultados, utilizando una sección cruzada de más de 150 países, sugieren que en aquellas sociedades que se han mostrado «más conscientes», el COVID-19 ha tenido un menor impacto en términos de coste humano y, hasta cierto punto, también económico.“Awareness” about the occurrence of viral infectious (or other) tail risks can influence their socioeconomic inter-temporal impacts. A branch of the literature finds that prior lifetime exposure to signicant shocks can affect people and societies, i.e. by changing their perceived probability about the occurrence of an extreme, negative shock in the future. In this paper we proxy “awareness” by historical exposure of a country to epidemics, and other catastrophic events. We show that in a large cross-section of more tan 150 countries, more “aware” societies suffered a less intense impact of the COVID-19 disease, in terms of loss of lives and, to some extent, economic damage

La inflación en Estados Unidos: evolución reciente y perspectivas

Artículo de revistaLas tasas de inflación globales han aumentado desde comienzos de 2021, especialmente en Estados Unidos, donde han sorprendido al alza en los últimos meses. Una parte del aumento de la inflación en este país se debe a un fenómeno estadístico procedente de la comparación de los precios actuales y los del año anterior, marcado por una caída generalizada de la actividad. Por otro lado, la reactivación económica ha propiciado el repunte de los precios en los sectores más afectados por la pandemia, ha acentuado ciertos problemas de abastecimiento y logística, y ha venido acompañada de un encarecimiento del componente energético. Si bien los factores descritos se consideran transitorios, pueden identificarse tres riesgos al alza sobre la evolución de los precios: primero, las presiones salariales derivadas del desajuste entre oferta y demanda de trabajo; segundo, un efecto inflacionista mayor de lo esperado del estímulo fiscal introducido en respuesta a la pandemia; por último, un posible desanclaje de las expectativas de inflación a medio plazo. En todo caso, se espera que estos efectos transitorios tengan una traslación relativamente moderada a la inflación en el área del euro

Measure to support credit and the financial sector in banking systems considered material for Spain

Artículo de revistaSince March 2020, the world’s major economies have approved financial and regulatory measures to limit the impact of the health crisis on both the overall economy and their respective financial systems. This paper summarises the measures implemented by countries outside the European Union and the euro area that are considered material for the Spanish banking system (the United Kingdom, the United States, Mexico, Brazil, Turkey, Chile, Peru and Colombia). It focuses particularly on the measures that remain in force, both those attempting to support the most vulnerable sectors affected by the pandemic (moratoria on loans to households, firms and other entities) and those intended to encourage lending and to support the financial system. The former set of measures has already expired in the vast majority of the countries considered, although some temporary easing of the solvency and liquidity requirements applicable under normal conditions remains in effect. Nonetheless, these measures will foreseeably come to an end in the near future (e.g. the reduced countercyclical buffer requirements and the deferred implementation of accounting and prudential standards)

Fiscal policy measures adopted since the second wave of the health crisis: the euro area, the United States and the United Kingdom

La persistencia de la crisis sanitaria hizo necesario que las principales economías avanzadas aprobaran nuevas medidas de política fiscal o ampliaran los plazos de las que vencían. Este trabajo resume las principales actuaciones adoptadas desde otoño de 2020 en las principales economías del área del euro (Alemania, Francia, Italia y España), Estados Unidos y Reino Unido, complementando así un trabajo anterior [Cuadro-Sáez et al. (2020)] centrado en las medidas aprobadas durante la primera mitad de 2020. Asimismo, se detallan las acciones tomadas dentro del marco temporal de ayudas de Estado que la Comisión Europea adoptó para proporcionar apoyo directo a las empresas más afectadas y limitar distorsiones en el comercio y la competencia en el mercado interior. Este conjunto de actuaciones ha contribuido a mitigar los riesgos asociados a una retirada temprana del estímulo fiscal. Entre las nuevas medidas adoptadas destacan las provisiones adicionales de apoyo a las empresas en los países europeos, las medidas de ayudas directas a los hogares en Estados Unidos y las nuevas provisiones de apoyo al empleo en el Reino Unido.The persistence of the health crisis made it necessary for the main advanced economies to approve fresh fiscal measures or extend the terms of those that expired. This paper summarises the main actions taken since autumn 2020 in the main euro area economies (Germany, France, Italy and Spain), the United States and the United Kingdom, supplementing a previous paper (Cuadro-Sáez et al. (2020)) that focused on the measures approved in the first half of 2020. Also, the actions taken within the State aid temporary framework, adopted by the European Commission to provide direct support to the most affected firms and to limit trade and competition distortions in the internal market, are detailed. This set of actions has helped to mitigate the risks associated with an early withdrawal of fiscal stimulus. Notable among the new measures adopted is the additional support for firms in European countries, the direct assistance to households in the United States and the new employment support provisions in the United Kingdom

Medidas de apoyo al crédito y al sector financiero en los sistemas bancarios con relevancia material para España

Artículo de revistaDesde marzo de 2020, las principales economías del mundo han aprobado medidas financieras y regulatorias para limitar el impacto de la crisis sanitaria tanto en el conjunto de la economía como en sus respectivos sistemas financieros. En esta nota se resumen las actuaciones llevadas a cabo por países de fuera de la Unión Europea y del área económica europea (Reino Unido, Estados Unidos, México, Brasil, Turquía, Chile, Perú y Colombia) con relevancia material para el sistema bancario español. Se presta especial atención a aquellas medidas que todavía se encuentran en vigor, tanto las que tratan de apoyar a los sectores más vulnerables afectados por la pandemia (moratorias de préstamos a hogares, empresas y otras entidades) como las orientadas a incentivar la concesión de créditos y a apoyar al sistema financiero. Si bien el primer grupo de medidas ha expirado ya en la gran mayoría de los países considerados, algunas acciones tomadas para la relajación temporal de los requerimientos de solvencia y liquidez exigibles en condiciones normales aún se encuentran en vigor. No obstante, se espera que estas medidas finalicen próximamente (por ejemplo, la reducción de los requerimientos en los colchones contracíclicos o el retraso en el calendario de aplicación de normas contables o prudenciales)

Medidas de política fiscal adoptadas a partir de la segunda ola de la crisis sanitaria: área del euro, Estados Unidos y Reino Unido

La persistencia de la crisis sanitaria hizo necesario que las principales economías avanzadas aprobaran nuevas medidas de política fiscal o ampliaran los plazos de las que vencían. Este trabajo resume las principales actuaciones adoptadas desde otoño de 2020 en las principales economías del área del euro (Alemania, Francia, Italia y España), Estados Unidos y Reino Unido, complementando así un trabajo anterior [Cuadro-Sáez et al. (2020)] centrado en las medidas aprobadas durante la primera mitad de 2020. Asimismo, se detallan las acciones tomadas dentro del marco temporal de ayudas de Estado que la Comisión Europea adoptó para proporcionar apoyo directo a las empresas más afectadas y limitar distorsiones en el comercio y la competencia en el mercado interior. Este conjunto de actuaciones ha contribuido a mitigar los riesgos asociados a una retirada temprana del estímulo fiscal. Entre las nuevas medidas adoptadas destacan las provisiones adicionales de apoyo a las empresas en los países europeos, las medidas de ayudas directas a los hogares en Estados Unidos y las nuevas provisiones de apoyo al empleo en el Reino Unido.The persistence of the health crisis made it necessary for the main advanced economies to approve fresh fiscal measures or extend the terms of those that expired. This paper summarises the main actions taken since autumn 2020 in the main euro area economies (Germany, France, Italy and Spain), the United States and the United Kingdom, supplementing a previous paper (Cuadro-Sáez et al. (2020)) that focused on the measures approved in the first half of 2020. Also, the actions taken within the State aid temporary framework, adopted by the European Commission to provide direct support to the most affected firms and to limit trade and competition distortions in the internal market, are detailed. This set of actions has helped to mitigate the risks associated with an early withdrawal of fiscal stimulus. Notable among the new measures adopted is the additional support for firms in European countries, the direct assistance to households in the United States and the new employment support provisions in the United Kingdom

China: impact of the pandemic and economic recovery

Artículo de revistaThe favourable course of the pandemic from early March onwards prompted the Chinese government to gradually ease the most stringent measures taken to fight COVID-19 that had been in force since January, relaxing confinements at home and the restrictions on both mobility and the pursuit of economic and business activity. This article describes the main features of the phase of economic recovery in China so far in 2020. These notably include, in first place, the considerable progress already made in the economic recovery in the country as a whole, although it was initially more lagged in Hubei province, where the pandemic originated. Second, people’s movements have gradually returned to normal, reaching pre-crisis levels in early October. Third, industrial activity has seen a swift recovery, albeit one partially underpinned by temporary factors, such as supplying the demand of other economies with lockdown measures in force. Moreover, services activity, which requires a high degree of social interaction, still lags. Fourth, as regards spending, the consumption of durable goods has recovered more slowly, while the saving rate has increased, which could be attributable to precautionary motives. Lastly, the pandemic appears to have exerted overall downward pressure on inflation in the country as a whole. Nevertheless, it may not be possible to fully extrapolate the experience of China to other economies, owing to the combination of some specific factors, such as the health strategy pursued and, in the economic sphere, the temporary but notable support of the external sector through manufacturing exports