Holdings: Systemic Real and Financial Risks

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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Bibliographic Details
Main Author:	Lucchetta, Marcella (Author)
Format:	Electronic eBook
Language:	English
Published:	Washington, D.C International Monetary Fund 2012
Series:	IMF Working Papers Working Paper No. 12/58
Online Access:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Summary:	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
Physical Description:	1 Online-Ressource (41 p)
ISBN:	1463937768 9781463937768

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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
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MARC

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