Systemic Risks and the Macroeconomy:
This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is imp...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2010
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 10/29 |
| 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 presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period. We obtain two main results. First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool. Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4- 2009Q1 |
| Beschreibung: | 1 Online-Ressource (41 p) |
| ISBN: | 1451962568 9781451962567 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:30Z |
| indexdate | 2024-07-10T09:35:39Z |
| institution | BVB |
| isbn | 1451962568 9781451962567 |
| language | English |
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| series2 | IMF Working Papers |
| spelling | Lucchetta, Marcella Verfasser aut Systemic Risks and the Macroeconomy Lucchetta, Marcella Washington, D.C International Monetary Fund 2010 1 Online-Ressource (41 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/29 This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period. We obtain two main results. First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool. Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4- 2009Q1 Online-Ausg De Nicoló, Gianni Sonstige oth http://elibrary.imf.org/view/IMF001/10721-9781451962567/10721-9781451962567/10721-9781451962567.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Lucchetta, Marcella Systemic Risks and the Macroeconomy |
| title | Systemic Risks and the Macroeconomy |
| title_auth | Systemic Risks and the Macroeconomy |
| title_exact_search | Systemic Risks and the Macroeconomy |
| title_exact_search_txtP | Systemic Risks and the Macroeconomy |
| title_full | Systemic Risks and the Macroeconomy Lucchetta, Marcella |
| title_fullStr | Systemic Risks and the Macroeconomy Lucchetta, Marcella |
| title_full_unstemmed | Systemic Risks and the Macroeconomy Lucchetta, Marcella |
| title_short | Systemic Risks and the Macroeconomy |
| title_sort | systemic risks and the macroeconomy |
| url | http://elibrary.imf.org/view/IMF001/10721-9781451962567/10721-9781451962567/10721-9781451962567.xml |
| work_keys_str_mv | AT lucchettamarcella systemicrisksandthemacroeconomy AT denicologianni systemicrisksandthemacroeconomy |