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Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide

  • Nicolas R. Blancher
  • Srobona Mitra
  • Hanan Morsy
  • Akira Otani
  • Tiago Severo
  • Laura Valderrama
Registered author(s):

    There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF for this purpose. It offers detailed and practical guidance on the use of current systemic risk monitoring tools on the basis of six key questions policymakers are likely to ask. It provides "how-to" guidance to select and interpret monitoring tools; a continuously updated inventory of key categories of tools ("Tools Binder"); and suggestions on how to operationalize systemic risk monitoring, including through a systemic risk "Dashboard." In doing so, the project cuts across various country-specific circumstances and makes a preliminary assessment of the adequacy and limitations of the current toolkit.

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    Paper provided by International Monetary Fund in its series IMF Working Papers with number 13/168.

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    Length: 80
    Date of creation: 17 Jul 2013
    Date of revision:
    Handle: RePEc:imf:imfwpa:13/168
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    1. Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0705, Koc University-TUSIAD Economic Research Forum.
    2. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance: A Network Perspective," IMF Working Papers 10/105, International Monetary Fund.
    3. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "From Financial Crash to Debt Crisis," American Economic Review, American Economic Association, vol. 101(5), pages 1676-1706, August.
    4. International Monetary Fund, 2012. "Short-Term Wholesale Funding and Systemic Risk: A Global Covar Approach," IMF Working Papers 12/46, International Monetary Fund.
    5. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2007. "Cross-Border Bank Contagion in Europe," Working Paper Series: Finance and Accounting 175, Department of Finance, Goethe University Frankfurt am Main.
    6. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    7. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    8. Tao Sun, 2011. "Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework," IMF Working Papers 11/111, International Monetary Fund.
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