Macroprudential Policy and Bank Systemic Risk: Does Inflation Targeting Matter?
Description
Data Description The dataset contains macroeconomic, global, and bank-level variables used to reproduce the empirical results of the paper “Macroprudential Policy and Bank Systemic Risk: Does Inflation Targeting Matter?” (Published in Emerging Markets Review, 2025). 📑 Article Authors - Farah Mugrabi ✉️ (a) - Mohamed Belkhir (b) - Sami Ben Naceur (b) - Bertrand Candelon (a) - Woon Gyu Choi (b) Affiliations:** - (a) Université catholique de Louvain - (b) International Monetary Fund For any questions, queries, or suggestions, please contact Dr. Farah Mugrabi at: 📧 farah.mugrabi@uclouvain.be or mugrabifarah@gmail.com
Files
Steps to reproduce
Steps to Reproduce -- Obtain external data (sources & access) Bloomberg (terminal access required): Using the tickers provided in bloomberg_tickers.txt, download (i) daily closing prices (PX_LAST) to compute stock returns and ΔCoVaR inputs, and (ii) bank-level indicators (e.g., total assets, total customer deposits, ROA, NPL, equity/total assets, net loans/total assets) via the relevant Bloomberg fields. Note: Bloomberg data are proprietary and are not included in this dataset. V-Lab (NYU Stern): Download SRISK and LRMES at the bank level. IMF iMaPP database: Download macroprudential policy indicators. -- Keys and matching Use bloomberg_tickers.txt to join sources: "Bloomberg ticker" → key for merging Bloomberg price and bank-level data. "Institution" → bank name as reported by V-Lab; use this to merge with V-Lab’s SRISK/LRMES. Use country codes (IFSCode) and date (DD-MM-YYYY) to merge macro series with bank-level panel
Institutions
- Universite catholique de Louvain