Zjawisko nadmiernej procykliczności sektora finansowego z perspektywy polityki makroostrożnościowej - źródła, metody ograniczania i ich rudymentarne słabości

• Autorzy: Małgorzata Olszak

Warianty tytułu

The Phenomenon of Excessive Procyclicality of the Financial Sector from the Perspective of Macroprudential Policy - Sources, Methods of Reduction and Their Basic Limitations

• Języki publikacji: PL

Abstrakty

W artykule przedstawiono wyjaśnienia zjawiska procykliczności działalności depozytowo-kredytowej na gruncie teorii zawodności mechanizmu rynkowego oraz na gruncie finansów behawioralnych. Wskazano, że wśród takich głównych zakłóceń znajdują się: efekty zewnętrzne związane ze strategicznymi komplementarnościami, z masową sprzedażą aktywów oraz z powiązaniami (i prowadzące do zjawiska zarażania). Zakłócenia mechanizmu rynkowego zakorzenione w teorii ekonomii klasycznej nie dają pełnego obrazu procykliczności działalności depozytowo-kredytowej. Aby ją lepiej zrozumieć, należy odwołać się do osiągnięć finansów behawioralnych. Analizie poddano również podstawowe antycykliczne instrumenty polityki makroostrożnościowej oraz mechanizm transmisji tych instrumentów w obszarze oddziaływania na cykl kredytowy i odporność sektora finansowego oraz określono również czynniki, które mogą ograniczać skuteczność i efektywność tych instrumentów. (abstrakt oryginalny)

EN

This article presents explanations of the procyclicality phenonomenon with the application of the theory of market failures and behavioral finance. This analysis shows that the most important failures include: externalities of strategic complementarities (the classical herding phenomenon), fire sale externalities (i.e. asset prices spirals); network externalities (i.e. contagion risk). The theory of market failures does not say the whole story about the procyclicality phenomenon. To get a fuller picture of procyclicality one has to resort to behavioral finance, i.e. availability heuristics and threshold heuristics. The analysis also focuses on macroprudential instruments in their potential to affect financial cycle and soundness of financial sector. The article aims also to identify basic limitation of macroprudential policy instruments. (original abstract)

Słowa kluczowe

PL

Ryzyko systemowe; Depozyt bankowy; Kredyt bankowy; Finanse behawioralne; Bezpieczeństwo finansowe; Procykliczność; Cykle finansowe; Cykl kredytowy; Polityka makroostrożnościowa

EN

Systemic risk; Bank deposit; Bank credit; Behavioural finance; Financial security; Procyclicality; Financial cycles; Credit cycle; Macroprudential policy

• Czasopismo: Problemy Zarządzania
• Rocznik: 2015
• Numer: vol. 13, nr 3 (55), t. 2 Ryzyko stabilności sektora finansowego - sygnały i systemy prewencji
• Strony: 72--96

Twórcy

autor

Małgorzata Olszak

• Uniwersytet Warszawski

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Identyfikatory

DOI

10.7172/1644-9584.55.5