We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to … identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining … insights from the early-warning literature on financial crises with recent advances on growth-at-risk. Applying this framework …

In this paper we relate a bank’s choice between retail and wholesale liabilities to real economic uncertainty and the … resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to … shocks in the volume of bank assets, banks facing more intense uncertainty and more volatile loan demand tend to employ more …

the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …

. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function …

in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting …-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical …