Nije dostupno na hrvatskom jeziku.
Carlo Cascini
- 19 November 2025
- MACROPRUDENTIAL BULLETIN - FOCUS - No. 32Details
- Abstract
- Early activation of the countercyclical capital buffer (CCyB), including adoption of a targeted “positive neutral” rate, has become an increasingly common practice within the euro area and beyond. This Focus Piece introduces a relatively novel approach for deriving a target positive neutral rate which links bank capital losses to macroeconomic variables using stress test data. The stress-test-elasticities approach complements existing methodologies developed by the ECB to inform the calibration of the target positive neutral CCyB rate for the euro area. As an example of how the approach works, a target positive neutral CCyB rate for the euro area is simulated based on scenarios designed to capture losses occurring when cyclical systemic risks are neither subdued nor elevated. The simulated results are consistent with actual positive neutral CCyB rates and align well with estimates derived from other ECB approaches.
- JEL Code
- G20, G28 : Financial Economics→Financial Institutions and Services→General