158 KB1817 KB87 KB2021Özsahin, Selcuk1 spletni vir (1 datoteka PDF (30 str.)COBISSID:86321923ISBN:978-961-6960-55-7URN:URN:NBN:SI:doc-T7F29DRQenBanka SlovenijeknjigebančništvoBančno poslovanjemakrobonitetna politikaopozorilaPreprečevanjeTveganjeEarly warning FAVAR model for the assessment of the effects of macroprudential policy on risks in the banking sector|This paper presents a model that combines a logistic-based early warning model with the factor-augmented vector autoregression (FAVAR) methodology to simulate and assess the effects of capital-based macroprudential policy on the risks in the banking sector at the sector- and individual-bank level. Using the integrated Early Warning FAVAR (EW-FAVAR) model developed in this paper, I show that a countercyclical implementation of the capital requirements prior to the 2008 global financial crisis, by introducing stringent requirements early in the build-up phase and an easing as the crisis unfolded, would significantly reduce the risks in the banking sector in Slovenia in this period. I contrast the effectiveness of the prudential policy using different signalling horizons and show that a late intervention by means of a tightening, in the face of material risks, risks pro-cyclical effectsTEXTknjigebooksSlovenian National E-content AggregatorNational and University Library of Slovenia