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Předmět, akademický rok 2023/2024
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Systemic Risk and Macroprudential Policy - JEM228
Anglický název: Systemic Risk and Macroprudential Policy
Český název: Systemic Risk and Macroprudential Policy
Zajišťuje: Institut ekonomických studií (23-IES)
Fakulta: Fakulta sociálních věd
Platnost: od 2021
Semestr: letní
E-Kredity: 6
Způsob provedení zkoušky: letní s.:kombinovaná
Rozsah, examinace: letní s.:2/2, Zk [HT]
Počet míst: 97 / 97 (neurčen)
Minimální obsazenost: neomezen
4EU+: ne
Virtuální mobilita / počet míst pro virtuální mobilitu: ne
Stav předmětu: vyučován
Jazyk výuky: angličtina
Způsob výuky: prezenční
Způsob výuky: prezenční
Poznámka: předmět je možno zapsat mimo plán
povolen pro zápis po webu
při zápisu přednost, je-li ve stud. plánu
Garant: doc. PhDr. Adam Geršl, Ph.D.
Vyučující: doc. PhDr. Adam Geršl, Ph.D.
Mgr. Barbara Livorová
Třída: Courses for incoming students
Anotace - angličtina
Poslední úprava: doc. PhDr. Adam Geršl, Ph.D. (09.02.2023)
At least since early 1990s, economists acknowledge that a stable financial system is a key precondition for a sound economic and financial development and that policies need to be implemented for maintaining financial stability and reducing the risk of financial crises. Since the Global Financial Crisis 2008/2009, this risk has been newly labeled "systemic risk" and policies to mitigate it were established under a new term "macroprudential". As of today, almost all central banks have added financial stability and mitigation of systemic risk among their main objectives along price stability.

The course discusses in depth the concept of systemic risk in the financial system, its accumulation and materialization over the financial cycle, and ways how to mitigate it using macroprudential policy tools. In the first half, the course will review key sources of systemic risk stemming from developments in the real economy, asset markets (such as real estate markets), or financial sector; present approaches to measure it; and demonstrate how early warning systems and other analytical approaches to monitor risks to financial stability are constructed. In the second half, it will explore how various macroprudential policy instruments - reaching from Basel III countercyclical capital buffer up to limits on LTV/DSTI - are calibrated and used in practice by central banks.
Cíl předmětu - angličtina
Poslední úprava: doc. PhDr. Adam Geršl, Ph.D. (09.02.2022)

After passing this course, you will understand
- how banks and the real economy interact and under which conditions can macro-financial developments lead to financial crises;
- analytical tools the central banks are using in the area of systemic risk monitoring and financial stability
- why and how central banks and financial regulators apply macroprudential policy instruments
- what effects macroprudential policy have on both financial institutions (such as banks) and the real sector (companies and households)

Literatura - angličtina
Poslední úprava: doc. PhDr. Adam Geršl, Ph.D. (05.02.2024)

Obligatory readings:

- for all topics of the course, one readings (a paper or article) will be uploaded each week (1 week in advance, typically) on the Moodle site of the course  

- the obligatory reading for the first week is here (please read it before the first tutorial on Wednesday, Feb 21, as we will use the reading there)

Woods, M., O'Connel, S., 2012, "Ireland's Financial Crisis: A Comparative Context". Central Bank of Ireland Quarterly Bulletin 4, Oct.

Additional recommended literature:

Schularick, Moritz, and Alan M. Taylor, 2012, “Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008,” American Economic Review, Vol. 102, pp. 1029-61.

Claessens, Stijn, M. A. Kose, and Marco F. Terrones, 2012, “How do Business and Financial Cycles Interact?” Journal of International Economics, Vol. 87, no. 1, pp. 178-190.

CGFS 2012, “Operationalising the Selection and Application of Macroprudential Instruments,” Papers No 48, December.

IMF, 2014, “Staff Guidance Note on Macroprudential Policy,” November.

Drehmann, Mathias, Claudio Borio, and Kostas Tsatsaronis, 2011, “Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates,” BIS Working Paper No 355, November.

Drehmann, Mathias and Kostas Tsatsaronis, 2014, The Credit-to-GDP Gap and Countercyclical Capital Buffers: Questions and Answers,” BIS Quarterly Review, March,   pp. 55-73. 

Crowe, C., G. Dell’Ariccia, D. Igan, and P. Rabanal, 2011, “Policies for Macrofinancial Stability: Options to Deal with Real Estate Booms,” IMF Staff Discussion Notes No. 11/2.

Alam et al., 2019, “Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database,” IMF Working Paper No. 19/66 (Washington: International Monetary Fund).

IMF/BIS/FSB, 2009, “Guidance to Assess Systemically Important Financial Institutions.”  

Dell’Ariccia, Giovanni, and others, 2012, “Policies for Macrofinancial Stability: How to Deal with Credit Booms,” IMF Staff Discussion Note 12/06. http://www.imf.org/external/pubs/ft/sdn/2012/sdn1206.pdf

Espinoza-Vega, M., and J. Solé, 2010, "Cross-Border Financial Surveillance: A Network Perspective," IMF Working Paper, WP/10/105.

Metody výuky - angličtina
Poslední úprava: doc. PhDr. Adam Geršl, Ph.D. (05.02.2024)

Please self-enrol yourself to the Moodle course site: https://dl1.cuni.cz/course/view.php?id=15918

- all lecture and tutorial materials, readings, homework assignments, data, and the final online test will be available here

- all communication will be run via the Moodle course site (all announcements will be available there in the Announcements section + they will arrive to your email)


No online streaming available for the lectures/tutorials


One lecture and one hands-on tutorial per week, except:

- Easter Monday, April 1 - no lecture; the tutorial slot on Wednesday, April 3, will be used for a combined lecture/workshop

- Wednesday, May 1 - National Holiday - no classes

- Wednesday, May 8 - National Holiday - no clases

Hands-on tutorials:

- data for existing countries or various real or hypothetical illustrative case studies will be analyzed 

- please bring your laptop to the tutorial, you will need them for the hands-on practical exercises and tasks


Obligatory readings:

- students will be asked to read an obligatory reading per lecture/tutorial in advance

- the reading will be assigned/announced one week in advance and uploaded to the Moodle course site

- the reading for the first tutorial (to be read before Wednesday, February 21, 11 am - please bring a printout to the tutorial or you can use the pdf at your laptop) is: 

Woods, M., O'Connel, S., 2012, "Ireland's Financial Crisis: A Comparative Context". Central Bank of Ireland Quarterly Bulletin 4, Oct.


Požadavky ke zkoušce - angličtina
Poslední úprava: doc. PhDr. Adam Geršl, Ph.D. (17.02.2024)

Three homework assignments: 60 points 

- in total 3 homeworks, about every 3-4 weeks, deadline in 2 weeks

- each assignment for max 20 points: total of max 60 points

- the assignments can be worked out in groups of 2-3 students, but who prefers to work individually can do so, too; the groups should be set up in Moodle and stay for the whole course (for all five homeworks)

Final open-book test (online): 30 points  

- will be done in Moodle on Monday, May 6, at 2 pm 

Activity in class: 10 points

- interaction in class will be valued by earning up to 10 points (max 1 point per week, max 10 points for the whole course)

Final marks:

Grade A: 91– 100 pts 
Grade B: 81 –  90 pts 
Grade C: 71 –  80 pts 
Grade D: 61 –  70 pts 
Grade E: 51 –  60 pts 
Grade F: 0 –   50 pts (Failed) 

Sylabus - angličtina
Poslední úprava: doc. PhDr. Adam Geršl, Ph.D. (17.02.2024)

A preliminary syllabus - subject to changes

Financial crises: anatomy, causes, consequences

Risk assessment of the banking sector

Sovereign risk

Macro-financial linkages and systemic risk

Cross-border interconnectedness and interbank contagion

Measuring financial cycle

Stress testing 

Constructing early warning systems

Macroprudential policy: Capital-based tools

Macroprudential policy: Borrower-based tools

Systemically Important Financial Institutions

Guest Lecture 



Univerzita Karlova | Informační systém UK