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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. Poslední úprava: Geršl Adam, doc. PhDr., Ph.D. (09.02.2023)
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After passing this course, you will understand Poslední úprava: Geršl Adam, doc. PhDr., Ph.D. (09.02.2022)
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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: IMF, 2014, “Staff Guidance Note on Macroprudential Policy,” November. 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. Poslední úprava: Geršl Adam, doc. PhDr., Ph.D. (05.02.2024)
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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.
Poslední úprava: Geršl Adam, doc. PhDr., Ph.D. (05.02.2024)
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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 13, 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 Poslední úprava: Geršl Adam, doc. PhDr., Ph.D. (11.05.2024)
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A preliminary syllabus - subject to changes
Poslední úprava: Geršl Adam, doc. PhDr., Ph.D. (17.02.2024)
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