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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2012
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 12/58 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (41 p) |
| ISBN: | 1463937768 9781463937768 |
Internformat
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:18Z |
| indexdate | 2024-07-10T09:35:25Z |
| institution | BVB |
| isbn | 1463937768 9781463937768 |
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| oclc_num | 1337115184 |
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| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
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| physical | 1 Online-Ressource (41 p) |
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| publishDate | 2012 |
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| publisher | International Monetary Fund |
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| spelling | Lucchetta, Marcella Verfasser aut Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing Lucchetta, Marcella Washington, D.C International Monetary Fund 2012 1 Online-Ressource (41 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 12/58 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 Online-Ausg De Nicoló, Gianni Sonstige oth http://elibrary.imf.org/view/IMF001/12657-9781463937768/12657-9781463937768/12657-9781463937768.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Lucchetta, Marcella Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing |
| title | Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing |
| title_auth | Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing |
| title_exact_search | Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing |
| title_exact_search_txtP | Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing |
| title_full | Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing Lucchetta, Marcella |
| title_fullStr | Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing Lucchetta, Marcella |
| title_full_unstemmed | Systemic Real and Financial Risks Measurement, Forecasting, and Stress Testing Lucchetta, Marcella |
| title_short | Systemic Real and Financial Risks |
| title_sort | systemic real and financial risks measurement forecasting and stress testing |
| title_sub | Measurement, Forecasting, and Stress Testing |
| url | http://elibrary.imf.org/view/IMF001/12657-9781463937768/12657-9781463937768/12657-9781463937768.xml |
| work_keys_str_mv | AT lucchettamarcella systemicrealandfinancialrisksmeasurementforecastingandstresstesting AT denicologianni systemicrealandfinancialrisksmeasurementforecastingandstresstesting |