Advanced Search
MyIDEAS: Login

Systemic Real and Financial Risks

Contents:

Author Info

  • Marcella Lucchetta
  • Gianni De Nicoló

Abstract

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. Using a large number of quarterly time series of the G-7 economies in 1980Q1-2010Q2, we show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations, and that stress testing provides useful early warnings on the build-up of real and financial vulnerabilities.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=25745
Download Restriction: no

Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 12/58.

as in new window
Length: 41
Date of creation: 01 Feb 2012
Date of revision:
Handle: RePEc:imf:imfwpa:12/58

Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Email:
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC

Order Information:
Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

Related research

Keywords: Economic indicators; Financial risk; Forecasting models; Group of seven; Prices; forecasting; bank credit; banking; probability; statistics; bank lending; banking model; time series; equations; equation; survey; random variable; samples; goodness of fit; predictions; econometrics; standard deviation; bank for international settlements; polynomial; banking theory; explanatory power; prediction; probability distribution; national bank; independent variables; confidence intervals; banking industry; bank of portugal; banking crises; bank capital; insurance premium; covariance; central banking; bank debt; banking models; integral; estimation procedure; factor analysis; sensitivity analyses; deposit insurance; credit policy; bank of england; correlation; estimation period; bank deposits;

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile And Probability Curves Without Crossing," Boston University - Department of Economics - Working Papers Series WP2007-011, Boston University - Department of Economics.
  2. Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. aggregate shocks : a structural factor analysis of industrial production," Working Paper 08-07, Federal Reserve Bank of Richmond.
  3. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  4. Harald Uhlig & Pooyan Amir Ahmadi, 2012. "Measuring The Dynamic Effects Of Monetary Policy Shocks: A Bayesian Favar Approach With Sign Restriction," 2012 Meeting Papers 1060, Society for Economic Dynamics.
  5. Huisman, Ronald, et al, 2001. "Tail-Index Estimates in Small Samples," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 208-16, April.
  6. Joseph G. Haubrich & Andrew W. Lo, 2013. "Quantifying Systemic Risk," NBER Books, National Bureau of Economic Research, Inc, number haub10-1.
  7. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc4b6ga2g is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Francisco B. Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
  2. Eugenio Cerutti & Patrick M. McGuire & Stijn Claessens, 2011. "Systemic Risks in Global Banking," IMF Working Papers 11/222, International Monetary Fund.
  3. Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
  4. Buncic, Daniel & Melecky, Martin, 2012. "Macroprudential stress testing of credit risk : a practical approach for policy makers," Policy Research Working Paper Series 5936, The World Bank.
  5. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
  6. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
  7. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?," NBER Working Papers 18531, National Bureau of Economic Research, Inc.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:12/58. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.