欧洲央行-从风险到缓冲：校准欧元区正中性CCyB汇率（英）

ECB-PUBLIC Working Paper Series From risk to buffer: calibrating the positive neutral CCyB rate in the euro area Luis Herrera, Mara Pirovano, Valerio Scalone Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3075 AbstractThis paper proposes a novel yet intuitive method for the calibration of the CCyB throughthe cycle in the euro area, including the positive neutral CCyB rate. The paper implementsthe Risk-to-Buffer framework by Couaillier and Scalone (2024) in both a DSGE and macrotime series setting and proposes a calibration of the PN CCyB aimed to reduce the macroe-conomic amplification of shocks occurring in an environment where risks are neither subduednor elevated. The suggested positive neutral CCyB rates for the euro area are consistentacross methodologies and robust to alternative specifications, ranging between 1% and 1.5%.The results also highlight the role of different shocks and sources of cyclical systemic risk forthe calibration of the CCyB through the cycle. The flexibility of the method regarding themodeling tools, the selection of specific levels of risks as well as the choice of state variablesand of exogenous shocks make it particularly suitable to be tailored to national specificitiesand policymakers’ preferences.Keywords: Financial stability, macroprudential policy, capital requirements, countercyclical cap-ital buffer.JEL Codes: C32, E51, E58, G01.ECB Working Paper Series No 30751Non-Technical SummaryIn the aftermath of the COVID-19 pandemic, an increasing number of jurisdictions adopted amore proactive approach to the use of the CCyB and set a positive rate for the buffer in theearly phases of the financial cycle, when cyclical systemic risk is not elevated. The implementedtarget positive neutral (PN) CCyB across euro area countries rates range from 0.5% and 2%,reflecting policymakers’ preferences, country-specific characteristics, but also the different cal-ibration methods used. While the experience and international guidance on the calibration ofthe CCyB to address cyclical systemic risk is well-established, methods to inform the calibrationof the target PN CCyB rate are relatively scarce.Against this background, this paper proposes a novel method to calibrate the PN CCyB ratefor the euro area based on the Risk-to-Buffer approach developed by (Couaillier and Scalone(2024)). The method we propose is grounded in state-of-the-art techniques and is technicallyrigorous, while also being intuitive and easy to implement. The main idea underlying the Risk-to-Buffer approach is that higher risk leads to a greater amplification of adverse shocks, leading tomore severe macroeconomic outcomes and higher banking sector losses. Hence, different levels ofcyclical systemic risks will correspond to different calibrations of the CCyB rate. The calibrationof the CCyB using the Risk-to-