Systemic Real and Financial Risks

Released on by Mr.Gianni De Nicolo
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  • Systemic Real and Financial Risks Book Detail

  • Author : Mr.Gianni De Nicolo
  • Release Date : 2012-02-01
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 41
  • ISBN 13 : 1463937768
  • File Size : 33,33 MB
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Systemic Real and Financial Risks by Mr.Gianni De Nicolo PDF Summary

Book Description: 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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