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Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises

Citations

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Cited by:

  1. Jorge E. Galán, 2020. "The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk," Working Papers 2007, Banco de España.
  2. Lang, Jan Hannes & Forletta, Marco, 2020. "Cyclical systemic risk and downside risks to bank profitability," Working Paper Series 2405, European Central Bank.
  3. Merike Kukk & Alari Paulus & Nicolas Reigl, 2022. "Credit market concentration and systemic risk in Europe," Bank of Estonia Working Papers wp2022-4, Bank of Estonia, revised 24 Mar 2022.
  4. Jorge E. Galán, 2021. "CREWS: a CAMELS-based early warning system of systemic risk in the banking sector," Occasional Papers 2132, Banco de España.
  5. Stolbov, Mikhail & Shchepeleva, Maria, 2022. "Modeling global real economic activity: Evidence from variable selection across quantiles," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
  6. Jorge E. Galán & María Rodríguez Moreno, 2020. "At-risk measures and financial stability," Financial Stability Review, Banco de España, issue Autumn.
  7. Mathias Drehmann & James Yetman, 2021. "Which Credit Gap Is Better at Predicting Financial Crises? A Comparison of Univariate Filters," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-31, October.
  8. Hobelsberger, Karin & Kok, Christoffer & Mongelli, Francesco Paolo, 2022. "A tale of three crises: synergies between ECB tasks," Occasional Paper Series 305, European Central Bank.
  9. Jorge E. Galán & María Rodríguez Moreno, 2020. "At-risk measures and financial stability," Revista de Estabilidad Financiera, Banco de España, issue NOV.
  10. Hodula, Martin & Pfeifer, Lukáš & Janků, Jan, 2022. "The effect of structural risks on financial downturns," ESRB Working Paper Series 138, European Systemic Risk Board.
  11. Zsuzsanna Hosszu & Gergely Lakos, 2022. "Early Warning Performance of Univariate Credit-to-GDP Gaps," MNB Occasional Papers 2022/142, Magyar Nemzeti Bank (Central Bank of Hungary).
  12. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
  13. Anil K Kashyap, 2020. "My Reflections on the FPC's Strategy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S1), pages 63-75, October.
  14. Vladyslav Filatov, 2020. "A New Financial Stress Index for Ukraine," IHEID Working Papers 15-2020, Economics Section, The Graduate Institute of International Studies.
  15. Carmen Broto & Esther Cáceres & Mariya Melnychuk, 2022. "Sectoral indicators for applying the Banco de España’s new macroprudential tools," Financial Stability Review, Banco de España, issue Spring.
  16. Jakob Fiedler & Josef Ruzicka & Thomas Theobald, 2019. "The Real-Time Information Content of Financial Stress and Bank Lending on European Business Cycles," IMK Working Paper 198-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  17. Martin Hodula & Jan Janku & Lukas Pfeifer, 2021. "Interaction of Cyclical and Structural Systemic Risks: Insights from Around and After the Global Financial Crisis," Research and Policy Notes 2021/03, Czech National Bank.
  18. Aitor Erce & Xu Jiang & Diana Zigraiova, 2020. "Quantifying Risks to Sovereign Market Access: Methods and Challenges," Globalization Institute Working Papers 377, Federal Reserve Bank of Dallas.
  19. Tölö, Eero, 2020. "Predicting systemic financial crises with recurrent neural networks," Journal of Financial Stability, Elsevier, vol. 49(C).
  20. Bochmann, Paul & Dieckelmann, Daniel & Fahr, Stephan & Ruzicka, Josef, 2023. "Financial stability considerations in the conduct of monetary policy," Working Paper Series 2870, European Central Bank.
  21. Gabor Katay & Lisa Kerdelhué & Matthieu Lequien, 2020. "Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap," Working Papers 2020-11, Joint Research Centre, European Commission.
  22. O'Brien, Martin & Wosser, Michael, 2022. "Assessing Structure-Related Systemic Risk in Advanced Economies," Research Technical Papers 3/RT/22, Central Bank of Ireland.
  23. Terhi Jokipii & Reto Nyffeler & Stéphane Riederer, 2021. "Exploring BIS credit-to-GDP gap critiques: the Swiss case," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 157(1), pages 1-19, December.
  24. Jorge E. Galán & María Rodríguez Moreno, 2020. "At-risk measures and financial stability," Revista de Estabilidad Financiera, Banco de España, issue Autumn.
  25. policy, Work stream on macroprudential & Policy, Monetary & Stability, Financial & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas , 2023. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
  26. Alona Shmygel, 2023. "Measuring the link between cyclical systemic risk and capital adequacy for Ukrainian banking sector," IHEID Working Papers 17-2023, Economics Section, The Graduate Institute of International Studies.
  27. policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
  28. Ivan De Lorenzo Buratta, 2022. "How Bad Can Financial Crises Be? A GDP Tail Risk Assessment for Portugal," Working Papers w202204, Banco de Portugal, Economics and Research Department.
  29. Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023. "Medium-term growth-at-risk in the euro area," Working Paper Series 2808, European Central Bank.
  30. Ester Faiaa & Sören Karau, 2021. "Systemic Bank Risk and Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-40, December.
  31. Carmen Broto & Esther Cáceres & Mariya Melnychuk, 2022. "Sectoral indicators for applying the Banco de España’s new macroprudential tools," Financial Stability Review, Banco de España, issue MAY.
  32. Ivan De Lorenzo Buratta, 2022. "Mind the Build-up: Quantifying Tail Risks for Credit Growth in Portugal," Working Papers w202207, Banco de Portugal, Economics and Research Department.
  33. Iwanicz-Drozdowska Małgorzata & Kurowski Łukasz, 2021. "Keep your friends close and your enemies closer – the case of monetary policy and financial imbalances," German Economic Review, De Gruyter, vol. 22(4), pages 383-414, November.
  34. Tihana Skrinjaric, 2023. "Leading indicators of financial stress in Croatia: a regime switching approach," Public Sector Economics, Institute of Public Finance, vol. 47(2), pages 205-232.
  35. Jorge E. Galán & Javier Mencía, 2021. "Model-based indicators for the identification of cyclical systemic risk," Empirical Economics, Springer, vol. 61(6), pages 3179-3211, December.
  36. Cabral, Inês & Detken, Carsten & Fell, John & Henry, Jérôme & Hiebert, Paul & Kapadia, Sujit & Pires, Fatima & Salleo, Carmelo & Constâncio, Vítor & Nicoletti Altimari, Sergio, 2019. "Macroprudential policy at the ECB: Institutional framework, strategy, analytical tools and policies," Occasional Paper Series 227, European Central Bank.
  37. Gjergj Legisi, 2020. "Credit-to-GDP gap: Local versus foreign currency credit," IHEID Working Papers 13-2020, Economics Section, The Graduate Institute of International Studies.
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