06683oam 22013694 450 991095450730332120250426110918.09781475589733147558973597814755372531475537255(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)WPIEA2012159WPIEA2012159(EXLCZ)99267000000023472420020129d2012 uf 0engur|n|---|||||txtccrMonitoring Systemic Risk Basedon Dynamic Thresholds /Kasper Lund-Jensen1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (37 p.)IMF Working PapersDescription based upon print version of record.9781475504576 1475504578 9781475565461 1475565461 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 managementBankingimfBanks and BankingimfBanks and bankingimfBanksimfCommercial banksimfCurrencyimfDepository InstitutionsimfEconomic & financial crises & disastersimfFinanceimfFinance: GeneralimfFinancial CrisesimfFinancial crisesimfFinancial institutionsimfFinancial Markets and the MacroeconomyimfFinancial risk managementimfFinancial sector policy and analysisimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: Government Policy and RegulationimfMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: GeneralimfMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: OtherimfMacroeconomicsimfMicro Finance InstitutionsimfMortgagesimfReal effective exchange ratesimfSystemic crisesimfSystemic risk assessmentimfSystemic riskimfUnited StatesimfFinancial risk management.Risk management.BankingBanks and BankingBanks and bankingBanksCommercial banksCurrencyDepository InstitutionsEconomic & financial crises & disastersFinanceFinance: GeneralFinancial CrisesFinancial crisesFinancial institutionsFinancial Markets and the MacroeconomyFinancial risk managementFinancial sector policy and analysisForeign ExchangeForeign exchangeGeneral Financial Markets: Government Policy and RegulationMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: GeneralMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: OtherMacroeconomicsMicro Finance InstitutionsMortgagesReal effective exchange ratesSystemic crisesSystemic risk assessmentSystemic risk332.1/52Lund-Jensen Kasper1816593International Monetary Fund.DcWaIMFBOOK9910954507303321Monitoring Systemic Risk Basedon Dynamic Thresholds4372808UNINA