Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations
This research deals with several approaches to constructing a composite indicator of cyclical systemic risk accumulation with a specific focus on Croatia. Such indicators are important in macroprudential policymaking, in order to track the position of the economy in the financial cycle. Moreover, th...
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| Format: | Article |
| Language: | English |
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Institute of Public Finance
2023-03-01
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| Series: | Public Sector Economics |
| Subjects: | |
| Online Access: |
http://www.pse-journal.hr/upload/files/pse/2023/1/skrinjaric.pdf
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| _version_ | 1811159137284784128 |
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| author | Tihana Skrinjaric |
| author_facet | Tihana Skrinjaric |
| author_sort | Tihana Skrinjaric |
| collection | DOAJ |
| description | This research deals with several approaches to constructing a composite indicator of cyclical systemic risk accumulation with a specific focus on Croatia. Such indicators are important in macroprudential policymaking, in order to track the position of the economy in the financial cycle. Moreover, the countercyclical capital buffer (CCyB) depends on the timely and accurate estimation of cyclical risk accumulation. The credit gap as defined in the BCBS (Basel Committee on Banking Supervision) and the ESRB (European Systemic Risk Board) guidance and recommendation has shown many flaws in practice. Thus, there is a need for improvement of the methodology. That is why this paper deals with the advantages and shortfalls of existing composite indicators of cyclical systemic risks and the possibilities of introducing them in Croatia. This research contributes to a critical overview of the methodological approaches, with suggestions for their improvement, focusing particularly on the specifics of Croatian data. |
| first_indexed | 2024-04-10T05:35:57Z |
| format | Article |
| id | doaj.art-b70cac64786e43a0a7635884c5cdf05f |
| institution | Directory Open Access Journal |
| issn | 2459-8860 |
| language | English |
| last_indexed | 2024-04-10T05:35:57Z |
| publishDate | 2023-03-01 |
| publisher | Institute of Public Finance |
| record_format | Article |
| series | Public Sector Economics |
| spelling | doaj.art-b70cac64786e43a0a7635884c5cdf05f2023-03-06T18:05:46ZengInstitute of Public FinancePublic Sector Economics2459-88602023-03-0147113910.3326/pse.47.1.19960Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitationsTihana Skrinjaric0 Croatian National Bank, Zagreb, Croatia This research deals with several approaches to constructing a composite indicator of cyclical systemic risk accumulation with a specific focus on Croatia. Such indicators are important in macroprudential policymaking, in order to track the position of the economy in the financial cycle. Moreover, the countercyclical capital buffer (CCyB) depends on the timely and accurate estimation of cyclical risk accumulation. The credit gap as defined in the BCBS (Basel Committee on Banking Supervision) and the ESRB (European Systemic Risk Board) guidance and recommendation has shown many flaws in practice. Thus, there is a need for improvement of the methodology. That is why this paper deals with the advantages and shortfalls of existing composite indicators of cyclical systemic risks and the possibilities of introducing them in Croatia. This research contributes to a critical overview of the methodological approaches, with suggestions for their improvement, focusing particularly on the specifics of Croatian data. http://www.pse-journal.hr/upload/files/pse/2023/1/skrinjaric.pdf cyclical risk; macroprudential policy; composite indicator; systemic risk |
| spellingShingle | Tihana Skrinjaric Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations Public Sector Economics cyclical risk; macroprudential policy; composite indicator; systemic risk |
| title | Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations |
| title_full | Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations |
| title_fullStr | Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations |
| title_full_unstemmed | Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations |
| title_short | Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations |
| title_sort | introducing a composite indicator of cyclical systemic risk in croatia possibilities and limitations |
| topic | cyclical risk; macroprudential policy; composite indicator; systemic risk |
| url |
http://www.pse-journal.hr/upload/files/pse/2023/1/skrinjaric.pdf
|
| work_keys_str_mv | AT tihanaskrinjaric introducingacompositeindicatorofcyclicalsystemicriskincroatiapossibilitiesandlimitations |