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Macrofinancial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events

In: Macroprudential regulation and policy

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  • Marco Lo Duca

    (ECB)

  • Tuomas Peltonen

    (ECB)

Abstract

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of JEL Classification: E44, E58, F01, F37, G01
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Marco Lo Duca & Tuomas Peltonen, 2011. "Macrofinancial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 82-88, Bank for International Settlements.
    • Handle: RePEc:bis:bisbpc:60-11
    as

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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F01 - International Economics - - General - - - Global Outlook
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G01 - Financial Economics - - General - - - Financial Crises

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