Macroprudential analysis of financial institutions
ENSAE Master 2 - May/June 2012
This 12 hours course is taught on Tuesdays 15, 22, 23, 29 May, from 2 PM to 5.15 PM.
Location: Malakoff, Room 19.
You may reach the teachers at the following addresses:
Jean-Stéphane Mésonnier: jean-stephane.mesonnier@banque-france.fr. [web page]
Jean-Paul Renne: jean-paul.renne@banque-france.fr [web page]
Slides of the course
Lessons from the 2007-2009 crisis
Regulating bank liquidity in a macroprudential perspective
Regulating bank capital in a macroprudential perspective
An overview of new macroprudential policies and institutions
Homework assignement
We expect you to write a 2-3 pages
commentary on one of the selected papers below. Your work will take the
form of a referee report for a fictitious journal (let us call it
Journal of Macroprudential analysis). The standard outline
of such a report is the following:
- short summary of the paper, its methodology and its main results (less than one page),
- general assessment (praise and weaknesses)
- main comments (a series of -methodological, econometric,
conceptual...- issues to be solved or improved, or important questions
that need to be answered, in particular if the journal before the
journal is to publish the paper)
- minor comments ( a few other points)
The
Impact of a Liquidity Shock on Bank Lending: The Case of the 2007 Collapse of
the Private-Label RMBS Market
Calem, Covas, Wu
Leverage Regulation and Macroeconomic Dynamics Christensen, Meh,
Moran,
Taming SIFIs Freixas,
Rochet
Does macropru leak ? Empirical evidence from a UK policy experiment Ayiar,
Calomiris, Wieladek
Bank risk-taking, Securitization, supervision and low interest rates:
Evidence from the Euro area and the US lending standards Maddaloni, Peydró
Business models and bank risk during the Great
Recession Altunbas, Manganelli,
Marquez-Ibanes
Repo runs Martin, Skeie, von Thadden
Fuzzy capital requirements, risk shifting and
the risk-taking channel of monetary policy Dubecq, Mojon, Ragot