Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing /

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 ind...

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मुख्य लेखक: Lucchetta, Marcella
अन्य लेखक: De Nicolo, Gianni
स्वरूप: पत्रिका
भाषा:English
प्रकाशित: Washington, D.C. : International Monetary Fund, 2012.
श्रृंखला:IMF Working Papers; Working Paper ; No. 2012/058
ऑनलाइन पहुंच:Full text available on IMF
विवरण
सारांश: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.
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भौतिक वर्णन:1 online resource (41 pages)
स्वरूप:Mode of access: Internet
आईएसएसएन:1018-5941
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