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The Co-movement of Asset Returns and the Micro-Macro Focus of Prudential Oversight

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dc.contributor.authorMajnoni, Giovanni
dc.date.accessioned2012-03-19T18:42:32Z
dc.date.available2012-03-19T18:42:32Z
dc.date.issued2010-10-01
dc.description.abstractThe integration of micro-prudential oversight with the macro-approach to financial stability -- long in the making -- raises several issues of coordination of regulatory responsibilities. This paper argues that a decomposition of the covariance of asset returns into an endogenous volatility component -- which can be reduced -- and an exogenous volatility component -- which we have to live with -- helps address these coordination issues and provides the basis for financial health diagnostics and supervisory responses to observed symptoms of financial instability. By linking risk origination and risk control, the paper may also contribute to the search for an operational definition of the term "macro-prudential."en
dc.identifierhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20101025091222
dc.identifier.doi10.1596/1813-9450-5456
dc.identifier.urihttps://hdl.handle.net/10986/3939
dc.languageEnglish
dc.relation.ispartofseriesPolicy Research working paper ; no. WPS 5456
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectACCOUNTING
dc.subjectAGGREGATE STOCK
dc.subjectAGGREGATE WEALTH
dc.subjectARBITRAGE
dc.subjectASSET PRICE
dc.subjectASSET PRICES
dc.subjectASSET PRICING
dc.subjectASSET RETURN
dc.subjectASSET RETURNS
dc.subjectBALANCE SHEET
dc.subjectBANK ACTIVITIES
dc.subjectBANK OFFICE
dc.subjectBANKING CRISES
dc.subjectBANKING REGULATION
dc.subjectBENCHMARK
dc.subjectBOND YIELD
dc.subjectBUSINESS CYCLE
dc.subjectCAPITAL ACCORD
dc.subjectCAPITAL ASSETS
dc.subjectCAPITAL CONTROLS
dc.subjectCENTRAL BANK
dc.subjectCOLLATERAL
dc.subjectCORPORATE BOND
dc.subjectCREDIBILITY
dc.subjectDEBT
dc.subjectDEFLATION
dc.subjectDEPOSIT
dc.subjectDEPOSIT INSURANCE
dc.subjectDIVERSIFICATION
dc.subjectDIVERSIFICATION BENEFITS
dc.subjectDIVIDENDS
dc.subjectECONOMIC DECISIONS
dc.subjectECONOMIC THEORY
dc.subjectECONOMICS
dc.subjectEFFICIENT MARKET
dc.subjectEFFICIENT MARKETS
dc.subjectEQUILIBRIUM PRICE
dc.subjectEQUILIBRIUM PRICES
dc.subjectEQUILIBRIUM THEORY
dc.subjectEQUITY MARKETS
dc.subjectEQUITY PORTFOLIOS
dc.subjectEXCESS DEMAND
dc.subjectEXCESS RETURN
dc.subjectEXPOSURE
dc.subjectEXTERNALITIES
dc.subjectFACTOR LOADINGS
dc.subjectFEDERAL RESERVE
dc.subjectFEDERAL RESERVE BANK
dc.subjectFINANCIAL ASSET
dc.subjectFINANCIAL ASSETS
dc.subjectFINANCIAL CONGLOMERATES
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL CRISIS
dc.subjectFINANCIAL DISTRESS
dc.subjectFINANCIAL FACTORS
dc.subjectFINANCIAL HEALTH
dc.subjectFINANCIAL INSTABILITY
dc.subjectFINANCIAL INSTITUTIONS
dc.subjectFINANCIAL INTERMEDIARIES
dc.subjectFINANCIAL MARKET
dc.subjectFINANCIAL MARKETS
dc.subjectFINANCIAL RETURNS
dc.subjectFINANCIAL RISK
dc.subjectFINANCIAL SAFETY NET
dc.subjectFINANCIAL SECTOR
dc.subjectFINANCIAL STABILITY
dc.subjectFINANCIAL SYSTEM
dc.subjectFINANCIAL SYSTEMS
dc.subjectFINANCIAL VOLATILITY
dc.subjectGENERAL EQUILIBRIUM
dc.subjectGENERAL EQUILIBRIUM MODELS
dc.subjectGLOBALIZATION
dc.subjectIDIOSYNCRATIC RISK
dc.subjectIMPERFECT INFORMATION
dc.subjectINCOMPLETE MARKETS
dc.subjectINDIVIDUAL ASSET
dc.subjectINDIVIDUAL ASSETS
dc.subjectINDIVIDUAL STOCKS
dc.subjectINSTITUTIONAL INVESTORS
dc.subjectINTERNATIONAL BANK
dc.subjectINTERNATIONAL EQUITY
dc.subjectINVESTMENT DECISION
dc.subjectINVESTMENT POLICIES
dc.subjectINVESTOR PREFERENCES
dc.subjectLENDER
dc.subjectLENDER OF LAST RESORT
dc.subjectLIQUIDITY CONSTRAINTS
dc.subjectLOAN
dc.subjectMACROECONOMIC POLICY
dc.subjectMACROECONOMIC VARIABLES
dc.subjectMACROECONOMIC VOLATILITY
dc.subjectMARKET ASSETS
dc.subjectMARKET BEHAVIOR
dc.subjectMARKET CONCENTRATION
dc.subjectMARKET CONDITIONS
dc.subjectMARKET DISCIPLINE
dc.subjectMARKET EFFICIENCY
dc.subjectMARKET EQUILIBRIUM
dc.subjectMARKET INCENTIVES
dc.subjectMARKET INTEGRITY
dc.subjectMARKET LIQUIDITY
dc.subjectMARKET PLAYERS
dc.subjectMARKET POWER
dc.subjectMARKET RETURN
dc.subjectMARKET SHARES
dc.subjectMARKET STRUCTURE
dc.subjectMARKET VOLATILITY
dc.subjectMORAL HAZARD
dc.subjectMULTIPLE EQUILIBRIA
dc.subjectMUTUAL FUND
dc.subjectOUTPUT
dc.subjectOVERSIGHT PROCESS
dc.subjectPOLICY RESPONSE
dc.subjectPOLICY RESPONSES
dc.subjectPOLITICAL ECONOMY
dc.subjectPORTFOLIO
dc.subjectPORTFOLIO ALLOCATIONS
dc.subjectPORTFOLIOS
dc.subjectPREVIOUS STUDIES
dc.subjectPRICE EFFECT
dc.subjectPRICING MODEL
dc.subjectPRODUCTIVITY
dc.subjectPRUDENTIAL SUPERVISION
dc.subjectPUBLIC INVESTMENT
dc.subjectREGULATORS
dc.subjectREGULATORY BODIES
dc.subjectREGULATORY PRACTICES
dc.subjectRESERVE BANK
dc.subjectRESERVES
dc.subjectRETURN
dc.subjectRETURN VARIANCE
dc.subjectRISK AVERSION
dc.subjectRISK CONTROL
dc.subjectRISK FACTOR
dc.subjectRISK FACTORS
dc.subjectRISK MANAGEMENT
dc.subjectRISK PARAMETERS
dc.subjectRISK PREMIUMS
dc.subjectRISK PROFILE
dc.subjectSAFETY
dc.subjectSAFETY NET
dc.subjectSALES
dc.subjectSELF-REGULATION
dc.subjectSMALL SAVERS
dc.subjectSOLVENCY
dc.subjectSTOCK MARKET
dc.subjectSTOCK MARKET CRASH
dc.subjectSTOCK MARKET INDEXES
dc.subjectSTOCK MARKET RETURNS
dc.subjectSTOCK MARKET VOLATILITY
dc.subjectSTOCK PRICE
dc.subjectSTOCK PRICES
dc.subjectSTOCK RETURNS
dc.subjectSTOCKS
dc.subjectSUPERVISORY AUTHORITIES
dc.subjectSURPLUS
dc.subjectSYSTEMIC RISK
dc.subjectTRADING
dc.subjectVOLATILITIES
dc.subjectVOLATILITY
dc.subjectWORLD ECONOMY
dc.titleThe Co-movement of Asset Returns and the Micro-Macro Focus of Prudential Oversighten
dspace.entity.typePublication
okr.crosscuttingsolutionareaJobs
okr.crossref.titleThe co-movement of asset returns and the micro-macro focus of prudential oversight
okr.date.disclosure2010-10-01
okr.date.doiregistration2025-04-10T11:38:51.717471Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20101025091222
okr.globalpracticeSocial Protection and Labor
okr.guid532171468175733738
okr.identifier.doi10.1596/1813-9450-5456
okr.identifier.externaldocumentum000158349_20101025091222
okr.identifier.internaldocumentum12904404
okr.identifier.reportWPS5456
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2010/10/25/000158349_20101025091222/Rendered/PDF/WPS5456.pdfen
okr.region.administrativeThe World Region
okr.region.administrativeThe World Region
okr.topicSocial Protections and Labor::Labor Policies
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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