The framework, which builds on two earlier reports by the ESRB, follows two complementary
approaches using country-level data, namely:
- a growth-at-risk approach, in which a model is used to estimate the impact that macroprudential policy has on forecasts regarding the distribution of future economic growth;
- an indicator approach, in which readily available indicators for risks, resilience and policy (for example housing prices and bank capitalisation) are compared across countries for both capital-based and borrower-based measures.
The report documents the technical improvements that the ESRB has made in this area. These
include conducting robustness checks (for example to assess whether results are stable when the
period of the COVID-19 pandemic is included), correcting for biases in the model estimation and
making the two approaches less complex. Thanks to these improvements, the individual assessments
are now more stable, and policymakers can interpret them more easily.
The macroprudential stance assessments provide input into macroprudential policy decisions but are
neither final statements about macroprudential policy nor recommendations. A harmonised
assessment of the macroprudential stance by the ESRB may help individual policymakers decide how
to address systemic risks in their countries. The ESRB will continue working to refine the framework.