Iossifov, Plamen; Schmidt, Tomas Dutra - 2021
We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies … patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas … mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that …