LEADER 06499oam 22012854 450 001 9910785528503321 005 20230801224018.0 010 $a1-4755-8973-5 010 $a1-4755-3725-5 035 $a(CKB)2670000000234724 035 $a(EBL)1606807 035 $a(SSID)ssj0000942928 035 $a(PQKBManifestationID)11521454 035 $a(PQKBTitleCode)TC0000942928 035 $a(PQKBWorkID)10975124 035 $a(PQKB)11787625 035 $a(MiAaPQ)EBC1606807 035 $a(Au-PeEL)EBL1606807 035 $a(CaPaEBR)ebr10590656 035 $a(OCoLC)796653585 035 $a(IMF)WPIEE2012159 035 $a(IMF)WPIEA2012159 035 $a(EXLCZ)992670000000234724 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMonitoring Systemic Risk Basedon Dynamic Thresholds /$fKasper Lund-Jensen 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (37 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4755-0457-8 311 $a1-4755-6546-1 320 $aIncludes bibliographical references. 327 $aCover; 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 327 $a4. 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 327 $a9. Systemic Banking Crises DatesIII. Systemic Banking Crises Dates; References 330 3 $aSuccessful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper, systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect binary response model framework. The model structure is dynamic and is designed for monitoring as the systemic risk forecasts only depend on data that are available in real time. Several risk factors are identified and it is hereby shown that the level of systemic risk contains a predictable component which varies through time. Furthermore, it is shown how the systemic risk forecasts map into crisis signals and how policy thresholds are derived in this framework. Finally, in an out-of-sample exercise, it is shown that the systemic risk estimates provided reliable early warning signals ahead of the recent financial crisis for several economies. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/159 606 $aFinancial risk management 606 $aRisk management 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aMacroeconomics$2imf 606 $aForeign Exchange$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aFinancial Crises$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General$2imf 606 $aMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: Other$2imf 606 $aFinancial Markets and the Macroeconomy$2imf 606 $aFinance$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aBanking$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aSystemic risk$2imf 606 $aSystemic crises$2imf 606 $aCommercial banks$2imf 606 $aSystemic risk assessment$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aFinancial crises$2imf 606 $aFinancial institutions$2imf 606 $aReal effective exchange rates$2imf 606 $aFinancial risk management$2imf 606 $aBanks and banking$2imf 607 $aUnited States$2imf 615 0$aFinancial risk management. 615 0$aRisk management. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aMacroeconomics 615 7$aForeign Exchange 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aFinancial Crises 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General 615 7$aMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: Other 615 7$aFinancial Markets and the Macroeconomy 615 7$aFinance 615 7$aEconomic & financial crises & disasters 615 7$aBanking 615 7$aCurrency 615 7$aForeign exchange 615 7$aSystemic risk 615 7$aSystemic crises 615 7$aCommercial banks 615 7$aSystemic risk assessment 615 7$aFinancial sector policy and analysis 615 7$aFinancial crises 615 7$aFinancial institutions 615 7$aReal effective exchange rates 615 7$aFinancial risk management 615 7$aBanks and banking 700 $aLund-Jensen$b Kasper$01556439 712 02$aInternational Monetary Fund. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910785528503321 996 $aMonitoring Systemic Risk Basedon Dynamic Thresholds$93819125 997 $aUNINA