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|z 9781463937768
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|a 1018-5941
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|a Lucchetta, Marcella.
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|a Systemic Real and Financial Risks :
|b Measurement, Forecasting, and Stress Testing /
|c Marcella Lucchetta, Gianni De Nicolo.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2012.
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|a 1 online resource (41 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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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|a Mode of access: Internet
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|a De Nicolo, Gianni.
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|a IMF Working Papers; Working Paper ;
|v No. 2012/058
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2012/058/001.2012.issue-058-en.xml
|z IMF e-Library
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