Monitoring systemic risk based on dynamic thresholds

Kasper Lund-Jensen

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 w

MoreLess

Year of publication:	2012
Authors:	Lund-Jensen, Kasper
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Bankenkrise \| Banking crisis \| Finanzkrise \| Financial crisis \| Bankenaufsicht \| Banking supervision

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (PDF-Datei: 35 S., 2,322 KB) graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/159 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Includes bibliographical references Systemvoraussetzungen: Acrobat Reader 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 Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-0457-6 ; 978-1-4755-3725-3 ; 978-1-4755-0457-6
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009618529