Cyclical systemic risk arises when macro-financial imbalances accumulate over time. Past financial crises which occurred in several countries around the world have shown that heightened cyclical risk can lead to exorbitant economic and financial costs if the appropriate macroprudential policies...

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production economy with a banking sector where financial constraints of banks can lead to disastrous banking panics. We find that a higher probability of a banking panic increases...

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a large database covering all sorts of cyclical and structural features of the financial sector and the real economy for a panel of 30 countries over the period 2006Q1-2019Q4. We...

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with US, European and Asian bank data. Consistent with bank...

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with US, European and Asian bank data. Consistent with bank...

This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...

Financial institutions heterogeneity, a high degree of dissimilarity across multiple dimensions, including business focuses, correlated asset holdings, capital structures, and funding sources, reduces systemic risk. We empirically test this hypothesis using a bank holding company (BHC) level...

This paper examines cyclical behavior of banks' systemic risk contribution and exposure. Using an unbalanced panel of 787 banks from countries members of the Organisation for Economic Co-operation and Development and the European Union covering the period 2000:Q1-2017:Q4, we document that both...

The level of household debt had already exceeded the threshold level in 2002 and began to exercise contractionary impact on consumption, jeopardizing the prospects for a sustained recovery. Given that a sizable number of households are now credit constrained, and that the maturity structure of...

We develop a model in which margin procyclicality, asset market depth and banks' propensity for liquidity hoarding interact to generate a systemic liquidity crisis. In this model, banks trade derivatives to hedge market risk or to speculate on interest rate movements. To mitigate counterparty...