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Monitoring systemic risk based on dynamic thresholds /
Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper, systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect bina...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
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| Colección: | IMF working paper ;
WP/12/159. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper, systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect binary response model framework. The model structure is dynamic and is designed for monitoring as the systemic risk forecasts only depend on data that are available in real time. Several risk factors are identified and it is hereby shown that the level of systemic risk contains a predictable component which varies through time. Furthermore, it is shown how the systemic risk forecasts map into crisis signals and how policy thresholds are derived in this framework. Finally, in an out-of-sample exercise, it is shown that the systemic risk estimates provided reliable early warning signals ahead of the recent financial crisis for several economies. |
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| Notas: | Title from PDF title page (IMF Web site, viewed June 25, 2012). "June 2012." |
| Descripción Física: | 1 online resource (36 pages) : color charts |
| Bibliografía: | Includes bibliographical references (pages 33-35). |
| ISBN: | 1475504578 9781475504576 1475537255 9781475537253 9781475565461 1475565461 |