Monitoring systemic risk based on dynamic thresholds /

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Bibliographic Details
Author / Creator:	Lund-Jensen, Kasper, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2012.
Description:	1 online resource (36 pages) : color charts
Language:	English
Series:	IMF working paper ; WP/12/159 IMF working paper ; WP/12/159.
Subject:	Risk -- Econometric models. Financial crises -- Econometric models. Economic policy -- Econometric models. Economic policy -- Econometric models. Financial crises -- Econometric models. Risk -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12500277

Hidden Bibliographic Details
Varying Form of Title:	At head of title: Monetary and Capital Markets Department
Other authors / contributors:	International Monetary Fund. Monetary and Capital Markets Department, issuing body.
ISBN:	1475504578 9781475504576 1475537255 9781475537253 9781475565461 1475565461 9781475504576 9781475537253
Digital file characteristics:	data file
Notes:	Title from PDF title page (IMF Web site, viewed June 25, 2012). "June 2012." Includes bibliographical references (pages 33-35).
Summary:	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.

Table of Contents:

Cover; Contents; I. Introduction; II. Related Literature; III. Econometric Methodology and Model Specification; A. Model Specification; Figures; 1. Binary Response Model Structure; Tables; 1. Countries in Data Sample; 2. Systemic Banking Crises, 1970-2010; IV. Estimation Results; 3. Standardized Marginal Effects; 4. Systemic Risk Factors; 2. Systemic Risk Factors based on Dynamic Logit Model, 1970-2010; V. Monitoring Systemic Risk; A. The Signal Extraction Approach; 3. Signal Classification; B. Crisis signals based on binary response model; 5. Optimal Threshold.
4. Monitoring Systemic Risk, 1970-2010C. Risk Factor Thresholds; 6. Systemic Risk Estimates and Crisis Signals; 7. Credit-to-GDP Growth Threshold; D. Out-of-Sample Analysis; 5. Monitoring Systemic Risk
Out-of-Sample Analysis: 2001-2010; VI. Concluding Remarks; 8. Systemic Risk Estimates for the United States; Appendices; I. Data Sources and Description; 6. Systemic Risk Factors (1/2), 1970-2010; II. Binary Response Model Estimation Results; 7. Systemic Risk Factors (2/2), 1970-2010; 8. Systemic Risk Factors based on Dynamic Logit Model (Credit-to-GDP Growth), 1970-2010.
9. Systemic Banking Crises DatesIII. Systemic Banking Crises Dates; References.

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