06499oam 22012854 450 991078552850332120230801224018.01-4755-8973-51-4755-3725-5(CKB)2670000000234724(EBL)1606807(SSID)ssj0000942928(PQKBManifestationID)11521454(PQKBTitleCode)TC0000942928(PQKBWorkID)10975124(PQKB)11787625(MiAaPQ)EBC1606807(Au-PeEL)EBL1606807(CaPaEBR)ebr10590656(OCoLC)796653585(IMF)WPIEE2012159(IMF)WPIEA2012159(EXLCZ)99267000000023472420020129d2012 uf 0engur|n|---|||||txtccrMonitoring Systemic Risk Basedon Dynamic Thresholds /Kasper Lund-JensenWashington, D.C. :International Monetary Fund,2012.1 online resource (37 p.)IMF Working PapersDescription based upon print version of record.1-4755-0457-8 1-4755-6546-1 Includes bibliographical references.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 Threshold4. 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), 1970-20109. Systemic Banking Crises DatesIII. Systemic Banking Crises Dates; ReferencesSuccessful 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.IMF Working Papers; Working Paper ;No. 2012/159Financial risk managementRisk managementBanks and BankingimfFinance: GeneralimfMacroeconomicsimfForeign ExchangeimfGeneral Financial Markets: Government Policy and RegulationimfFinancial CrisesimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: GeneralimfMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: OtherimfFinancial Markets and the MacroeconomyimfFinanceimfEconomic & financial crises & disastersimfBankingimfCurrencyimfForeign exchangeimfSystemic riskimfSystemic crisesimfCommercial banksimfSystemic risk assessmentimfFinancial sector policy and analysisimfFinancial crisesimfFinancial institutionsimfReal effective exchange ratesimfFinancial risk managementimfBanks and bankingimfUnited StatesimfFinancial risk management.Risk management.Banks and BankingFinance: GeneralMacroeconomicsForeign ExchangeGeneral Financial Markets: Government Policy and RegulationFinancial CrisesBanksDepository InstitutionsMicro Finance InstitutionsMortgagesMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: GeneralMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: OtherFinancial Markets and the MacroeconomyFinanceEconomic & financial crises & disastersBankingCurrencyForeign exchangeSystemic riskSystemic crisesCommercial banksSystemic risk assessmentFinancial sector policy and analysisFinancial crisesFinancial institutionsReal effective exchange ratesFinancial risk managementBanks and bankingLund-Jensen Kasper1556439International Monetary Fund.DcWaIMFBOOK9910785528503321Monitoring Systemic Risk Basedon Dynamic Thresholds3819125UNINA