南非：技术援助报告对央行资产负债表进行压力测试，并校准基于风险的资本缓冲

SOUTH AFRICA Stress Testing the Central Bank Balance Sheetand Calibrating Risk-based Capital Buffers May 2025 Prepared ByDarryl King, Yuji Sakurai, and Luyao Liu Authoring Department: Monetary and Capital MarketsDepartment The contents of this document constitute technical advice provided by the staff of the InternationalMonetary Fund to the authorities oftheSouth AfricaReserve Bank(the "CD recipient") in response totheir request for technical assistance. Unless the CD recipient specifically objects to such disclosure, thisdocument (in whole or in part) or summaries thereof may be disclosed by the IMF to the IMF ExecutiveDirectorforSouth Africa, to other IMF Executive Directors and members of their staff, as well as to otheragencies or instrumentalities of the CD recipient, and upon their request, to World Bank staff, and othertechnical assistance providers and donors with legitimate interest(seeStaff Operational Guidance on theDissemination of Capacity Development Information). Publication or Disclosure of this report (in whole orin part) to parties outside the IMF other than agencies or instrumentalities of the CD recipient, World Bankstaff, other technical assistance providers and donors with legitimate interest shall require the explicitconsent of the CD recipient and the IMF’sMonetary and Capital MarketsDepartment. The analysis and policy considerations expressed in this publication are those ofthe IMF’s Monetary andCapital MarketsDepartment. Contents A.Policy Solvency.......................................................................................................................11B.Overview.................................................................................................................................12C.Core Equations.......................................................................................................................13D.Satellite Models......................................................................................................................14E.Application to the SARB..........................................................................................................15 A.Base Scenario.........................................................................................................................17B. AdverseScenario....................................................................................................................20C. At-RiskScenarios...................................................................................................................22D. QuantifyingtheGFECRA Buffer............................................................................................24E.Assessingthe Adequacy of the Equity Buffer........................................................................25F. Sensitivity Analyses................................................................................................................27 Boxes 1. Combined Shocks of ZAR Appreciation and High Inflation..............................................................262. Possible Scenario of a Significant ZAR Appreciation.......................................................................27 Figures 1. Annual Distribution Framework.........................................................................................................112. Assessing Policy Solvency................................................................................................................123. ModelingtheCentral Bank Balance Sheet.......................................................................................134. Macro Assumptions in Base Scenario..............................................................................................185. Results in Absence of Distribution of GFECRAunder Base Scenario.............................................196. Results with Scheduled Distribution of GFECRAunder Base Scenario...........................................207. Macro Assumptions in Adverse Scenario.........................................................................................218. Resultsunder Adverse Scenario......................................................................................................229. Growth-at-Risk (5thpercentile)..........................................................................................................2310. Inflation-at-Risk (5thpercentile).......................................................................................................2311. FX-at-Risk.......................................................................................................................................2412. Constant Required Reserves..........................................................................................................2813. Accumulating Foreign Reserves.....................................................................................................28 Tables 1. KeyRecom