The Impact of Macroprudential Policy Instruments on Financial StabilityEva Lorenčič
, 2021, doctoral dissertation
Abstract: This doctoral dissertation represents a comprehensive treatment of the many facets of macroprudential policy. We start by delving into the notions of macroprudential policy, systemic risk and financial stability, describe the macroprudential policy transmission mechanism, systemic financial crises and contagion channels, as well as the Modigliani-Miller theorem and its violations. We proceed by illustrating a multitude of available macroprudential policy instruments, attempt to clarify whether capital controls can be considered a macroprudential policy instrument, describe the use and calibration of macroprudential policy instruments, and elaborate on the changes to the EU macroprudential policy framework after the enactment of the Capital Requirements Regulation II and Capital Requirements Directive V.
Next, we describe interactions between macroprudential policy and other policies, in particular microprudential, monetary, fiscal and structural policies. We attempt to answer the question of whether macroprudential policy should be entrusted to a central bank, a financial supervisory authority, or the government. Furthermore, we investigate whether countries should reciprocate each other’s macroprudential policy stance. Moreover, we review the existing research regarding the impact of macroprudential policy instruments on financial stability. We attempt to answer the question of whether the existence of a macroprudential policy framework could have prevented the Global Financial Crisis of 2007. Last but not least, we conduct our own empirical assessment of the impact of macroprudential policy instruments on financial stability in six euro area countries (Belgium, Cyprus, Germany, Spain, Ireland and Netherlands) over sixteen quarters (from 2015 Q1 (inclusive) to 2018 Q4 (inclusive)) by using the quantitative research method of panel econometrics.
We tested three hypotheses: H1: Macroprudential policy instruments (common equity tier 1 ratio; loans to deposits ratio; non-deposit funding as percentage of total funding; leverage ratio; interconnectedness ratio; and coverage ratio for non-performing exposures) enhance financial stability, as measured by credit growth. H2: Macroprudential policy instruments (common equity tier 1 ratio; loans to deposits ratio; non-deposit funding as percentage of total funding; leverage ratio; interconnectedness ratio; and coverage ratio for non-performing exposures) enhance financial stability, as measured by house price growth. H3: Macroprudential policy instruments (common equity tier 1 ratio; loans to deposits ratio; non-deposit funding as percentage of total funding; leverage ratio; interconnectedness ratio; and coverage ratio for non-performing exposures) reduce cyclical fluctuations of the economy, as measured by the amplitude of the deviations of the actual economic growth rate from its long-run trend, thereby contributing to financial stability.
Our empirical results suggest that, of the investigated macroprudential policy instruments, common equity tier one ratio, coverage ratio, and interconnectedness ratio exhibit the predicted impact on credit growth rate and on the deviation of the actual economic growth rate from its long-run trend. Furthermore, common equity tier one ratio, loans to deposits ratio, and leverage ratio exhibit the predicted impact on house price growth rate. The non-deposit funding ratio does not exhibit the expected impact on any of the response variables. Hence, we can only partly confirm hypotheses 1, 2 and 3.
Our conclusions are in line with contemporary research on macroprudential policy. Taking into account the existing empirical research, combined with our findings as presented in this dissertation, a case can be made for the usage of carefully crafted macroprudential policy instruments which target selected financial and macroeconomic variables with the ultimate goal of attaining financial stability of the financial system as a whole.
Keywords: Macroprudential policy, macroprudential instruments, systemic risk, financial stability
Published in DKUM: 03.05.2022; Views: 307; Downloads: 45
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Improving Frontline Responses to Domestic Violence in Europe
2021, scientific monograph
Abstract: The monograph on improving the response of first responders to domestic violence in Europe aims to identify gaps in the cooperation of first-line responders and deliver recommendations, toolkits and collaborative training for European police organizations and medical and social work professionals. The goal is to improve integrate institutional response to domestic violence. Shared training and adequate risk assessment tools will create a positive feedback loop, increasing reporting rates of domestic violence to police, the medical profession, and community and social work practitioners.
Keywords: domestic violence, first responders, risk assessments, police, social work, health, cooperation, training, Europe
Published in DKUM: 09.12.2021; Views: 451; Downloads: 66
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Notaries' escrow services in selling real estate in the Republic of SloveniaBojan Podgoršek
, 2020, original scientific article
Abstract: Notary's escrow is a legal relationship between the notary and the parties to the underlying legal transaction, which is generally a sales agreement. Notary's escrow is regulated with mandatory statutory rules commissioning public notaries and the rules of the mandate agreement. Mutual obligations of the parties to the underlying legal transaction in and of themselves do not influence the notary's obligations under a notary's escrow agreement unless they are included in the notary's escrow agreement as a constituent part thereof. Slovenian legislation stipulates the general conditions of notaries' operations. However, it does not stipulate specific conditions that must be fulfilled in order to place documents, funds and securities into escrow with a notary, nor does it stipulate the mandatory component elements of the escrow order. Therefore, The Slovenian regulation of notary's escrow should be supplemented.
Keywords: escrow services, notaries' escrow services, notary escrow of funds, notary escrow of documents, selling real estate, conditions of notary's escrow, risk of non-performance, legitimate interest for notary escrow
Published in DKUM: 15.01.2021; Views: 414; Downloads: 0
Organised crime (threat) as a policy challenge : a tautologyP. C. van Duyne
, 2010, review article
To analyse some of the key concepts and beliefs related to the risk of organised crime and compare it to the empirical state of affairs, particularly related to criminal finances.
Analysis of criminal files and databases.
In the past two decades, since the fall of the Berlin Wall, ‘organised crime’ has been proclaimed a threat to society. However, who is threatening with what, while the phenomenon (if there is anything like that) is ill defined? It looks like policy makers are trapped in a kind of tautology, unless there is also a non-threatening organised crime.
The threat assessments, which are composed by national governments and Europol are plagued by fuzzy concepts about threats, risks and risk formula which share that characteristic. The formula and concepts used thus far appear to have resisted operationalisation due to the lack of proper definitions to be usefully applied.
Inherent to these unsolved problems is the causality issue. Who causes what harm? To approximate an answer to this question the author takes the laundering of crime-money as a proxy variable. What harm does laundering do to the financial system, thereby exerting a threat. Inspection of the scarce data shows that this threat cannot be substantiated, either to the real estate (usually considered menaced) or the financial system (per definition threatened).
Either the problem is not big at all or the authorities have not taken their responsibility to provide a proper knowledge basis. The author pleads to break out of this tautological threat rhetoric and to replace this by a proper analysis and a responsible methodology.
The data are limited to what has come to light during criminal investigations. However, they are not contested.
The research made plainly clear that claims about the risk of crime-money are not substantiated by empirical facts
This kind of research has not been carried out thus far.
Keywords: organised transnational crime, laundering, risk
Published in DKUM: 12.05.2020; Views: 475; Downloads: 38
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Kriptovalute kot oblika špekulativne naložbe in ocena tveganosti na podlagi metode VaRDenis Štotl
, 2019, master's thesis
Abstract: V zadnjem obdobju se zanimanje za kriptovalute zelo povečuje in te tako postajajo vse pogostejša tema debat, zlasti v finančnem svetu. Kriptovalute predstavljajo stičišče med tehnologijo in financami, saj imamo na eni strani novo revolucionarno tehnologijo blockchain, ki je glavni fundamentalni element delovanja kriptovalut in na drugi strani nek nov razred sredstev, ki pa odpira naložbene priložnosti. V magistrski nalogi je osredotočenost usmerjena predvsem na predstavitev naložbenega vidika kriptovalut.
V prvem delu naloge opredelimo kriptovalute, njihov začetek in razvoj. Okvirno predstavimo tehnologijo blockchain in tri vodilne, največje kriptovalute bitcoin (BTC), ethereum (ETH) in ripple (XRP). Izpostavimo tudi prednosti in slabosti kriptovalut. Sledi prehod na naložbeni vidik. Trg kriptovalut je zelo dinamičen, volatilen in špekulativne narave. Razlogov, zakaj se posamezniki odločajo investirati v kriptovalute je več in ti segajo vse od špekulacij pa do dolgoročnih naložb, možnosti diverzifikacije portfelja, evforije. Infrastruktura, ki omogoča dostop oz. nakup kriptovalut ter trgovanje z njimi se še razvija in obstaja vedno več načinov, kje jih lahko posameznik kupi ali z njimi trguje. Glavni in najpogostejši način dostopa predstavljajo kriptoborze, obstajajo tudi razni kripto bankomati, trgovanje pa je omogočeno tudi z nekaterimi izvedenimi finančnimi instrumenti, kot so standardizirane terminsko pogodbe, CFD pogodbe ali pa se z njimi trguje na OTC trgu (trg prek okenc). Vsak od teh načinov ima določene prednosti in slabosti in te so izpostavljene skupaj s tem, na kaj morajo biti posamezniki previdni, ko uporabljajo te načine dostopa. Pomemben je tudi način hrambe kriptovalut in poznamo več vrst denarnic, njihova izbira je odvisna predvsem od lastnih preferenc posameznika, saj imajo te različne prednosti in slabosti, ki so v nalogi predstavljene. V nadaljevanju je izpostavljena vloga institucionalnih investitorjev in "hedge" skladov. Trenutno imajo večjo vlogo predvsem manjši "hedge" skladi. Sledi prikaz gibanja cene treh vodilnih kriptovalut, kjer smo izpostavili večja nihanja, opredeljeni pa so tudi glavni dejavniki, ki vplivajo na gibanje cene. Med temi so ponudba in povpraševanje, novice, FOMO in FUD, širše družbeno sprejemanje ter tehnološki napredek.
V drugem, empiričnem delu naloge pa kvantitativno z uporabo znanih metod VaR (value at risk) in ES (expected shortfall) ocenimo tveganost naložb v izbrane kriptovalute in jih primerjamo z izbranimi tradicionalnimi finančnimi instrumenti. Prikazati smo želeli, za kako tvegane naložbe dejansko gre, ko govorimo o kriptovalutah v primerjavi s tradicionalnimi finančnimi instrumenti. Vse izbrane instrumente smo na podlagi izračunanih vrednosti v tabeli razvrstili po tveganosti. Rezultati so pokazali, da med skupinama prihaja do očitnih razlik, saj so izbrane kriptovalute na podlagi izračunanih vrednosti VaR in ES bistveno bolj tvegane od ostalih izbranih instrumentov. Skladno s tem smo tudi za namen preverjanja hipotez dokazali, da med skupinama obstajajo statistično značilne razlike.
Keywords: kriptovaluta, blockchain, bitcoin, ethereum, ripple, naložba, kriptoborza, ocena tveganosti, VaR (Value-at-Risk), ES (Expected Shortfall)
Published in DKUM: 05.12.2019; Views: 965; Downloads: 153
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Rangiranje tveganj kemičnih dejavnikov tveganja v prehrani otrokTamara Krevh
, 2019, master's thesis
Abstract: Kemijske spojine imajo pri človeku številne vplive na molekularne procese in lahko predstavljajo tveganje za zdravje, če njihov vnos presega varne meje. Ukrepi za obvladovanje tveganj so pomembno orodje za zagotavljanje varnosti hrane. Uporabljajo se lahko različni pristopi, namenjeni zmanjšanju izpostavljenosti potrošnikovim onesnaževalom v hrani. Namen magistrskega dela je rangiranje kemičnih substanc v hrani glede na njihovo tveganje za otroke. Podatke smo zbrali na podlagi poročil organizacije EFSA glede toksičnosti posameznih kemijskih substanc in njihovega vnosa s hrano pri otrocih na evropski ravni. Obdelali smo jih s pomočjo programskega orodja Risk Thermometer, ki upošteva parametre toksičnosti, ocenjenega vnosa in resnosti zdravstvenih posledic v primeru bolezni zaradi prevelike izpostavljenosti. Program izračuna faktorje SAMOE (angl. Severity Adjusted Margin of Exposure), ki smo jih grafično prikazali. Rangiranje kemijskih spojin s tem orodjem se razlikuje od rangiranja po tradicionalni metodi MOE (angl. Margin of Exposure), ki upošteva samo razmerje med vnosom in dovoljenim oziroma dopustnim dnevnim vnosom. Od substanc, vključenih v rangiranje, predstavljajo najvišje tveganje za otroke iAs, aflatoksini, akrilamid in MeHg, najnižje pa nitrofurani, BDE-ji in Cr(III). BPA z vnosom preko hrane ne predstavlja tveganja za zdravje otrok. Pričakovano so onesnaževala na lestvici rangirana kot bolj tvegana v primerjavi z aditivi.
Keywords: onesnaževala / aditivi / tveganje / Risk Thermometer / rangiranje tveganj
Published in DKUM: 04.10.2019; Views: 700; Downloads: 108
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Geo-information technology for disaster risk assessmentĐorđe Ćosić
, Sađan Popov
, Dušan Sakulski
, Ana Pavlović
, 2011, original scientific article
Abstract: The Serbian territory (including the territory of the former Yugoslavia) has been continuously exposed to different hazards, often with tragic consequences. Earthquakes and floods, usually followed by landslides, are the most dominant hazards in that region. Disaster risk reduction, prevention and early warning, as an integral part of sustainable development, do not exist in Serbia. That is one of the main reasons why the disaster-related damage is high. Despite very long experience in engineering and resources management in Serbia, there are no scientifically supported and standardized disaster risk-assessment procedures. Expertise only exists in the field of engineering-based hazard assessment.
The risk-assessment method proposed in this research includes, apart from hazards, parameters such as vulnerability, exposure and safety. It considers the environmental and social components of risk management. The proposed method, implementing combined mathematical and 3D GIS tools, was applied for the Danube River, Petrovaradin (the city of Novi Sad) area, for which data were available. The relationship between the risk parameters is calculated and graphically presented. Methods like this one should contribute to a shift from a passive disaster-related defense to a proactive disaster risk management, as well as from emergency management only, to disaster prevention, preparedness and mitigation activities, in Serbia and the Western Balkan Region.
Keywords: hazard, vulnerability, safety, resilience, coping capacity, risk assessment, risk management, geographic information systems, earthquake, landslide, flooding, exceedance
Published in DKUM: 13.06.2018; Views: 684; Downloads: 61
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Risk management according to ISO 31000Borut Jereb
, Matjaž Knez
, Darja Kukovič
, Tina Cvahte Ojsteršek
, Matevž Obrecht
, 2016, independent scientific component part or a chapter in a monograph
Abstract: Organizations of all types and sizes face internal and external factors and influences that make it uncertain whether and when they will achieve their objectives. The effect this uncertainty has on an organization's objectives is «risk».
Although the practice of risk management has been developed over time and within many sectors in order to meet diverse needs, the adoption of consistent processes within a comprehensive framework can help to ensure that risk is managed effectively, efficiently and coherently across an organization. The generic approach described in this International Standard provides the principles and guidelines for managing any form of risk in a systematic, transparent and credible manner and within any scope and context.
All activities of an organization involve risk. Organizations manage risk by identifying it, analysing it and then evaluating whether the risk should be modified by risk treatment in order to satisfy their risk criteria. Throughout this process, they communicate and consult with stakeholders and monitor and review the risk and the controls that are modifying the risk in order to ensure that no further risk treatment is required. ISO 31000 describes this systematic and logical process in detail. (IS0 31000, 2009).
Keywords: risk management, risk analysis, risk evaluation, business, organizations, companies
Published in DKUM: 10.05.2018; Views: 1065; Downloads: 94
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Environmental management & audit 2: Management systems : Tempus project Recoaud
2016, scientific monograph
Abstract: The present scientific monograph, entitled “Environmental management & audit“, is the result of three years’ work on an international project entitled “Environmental management in Russian companies – retraining courses for the sensibilization for and integration of Eco-Audit programs in corporate decision-making (RECOAUD)”. Within its more than 600 pages, the monograph features interesting texts written by 31 authors from the European Union and the Russian Federation, edited by dr. Borut Jereb, Darja Kukovič and dr. Daria Meyr.
The monograph “Environmental management & audit“ is composed of four books: “Scarcity and Introduction of Environmental Management”, “Management Systems”, “Controlling and Stakeholders”, and “Environmental Assessment” (Featured Articles). These four topics reflect the complexity, heterogeneity and multidisciplinary of the project Tempus RECOAUD.
The reader of the monograph gets a comprehensive overview of theoretical perspectives of environmental management and audit in the chosen areas. Furthermore, the monograph also highlights the results of research in the field of environmental management and audit as well as trends and challenges in the development of this field. Providing insight into theoretical and research findings, the monograph will prove useful to both practitioners and researchers in the field of environmental management and audit; it can also be used for study purposes.
Keywords: logistics, transport, environmental protection, business risk, oil industry, environmental impact assessment
Published in DKUM: 09.05.2018; Views: 1187; Downloads: 72
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