Hidden Bibliographic Details
| Other authors / contributors: | Lucchetta, Marcella, author.
International Monetary Fund. Research Department, issuing body.
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| ISBN: | 9781463946975
146394697X
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| Notes: | At head of title: Research Department.
Title from PDF title page (IMF Web site, viewed February 28, 2012).
"February 2012."
Includes bibliographical references.
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| 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.
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| Other form: | Print version: Lucchetta, Marcella. Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing. Washington : International Monetary Fund, ©2012 9781463937768
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