This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...

Excessive private sector debt can undermine economic stability. In this special feature, we propose the debt service ratio (DSR) as a measure of the financial constraints imposed by private sector indebtedness, and investigate its association with recessions and financial crises. We find that...

The media influence our perception of reality and, since we act on those perceptions, reality is in turn affected by the media. News is a rich source of information, but, in addition, the sentiment (i.e., the tone of financial news) tells us how others perceive the financial system and how that...

This paper presents a tractable, transparent and broad-based domestic cyclical systemic risk indicator (d-SRI) that captures risks stemming from domestic credit, real estate markets, asset prices, and external imbalances. The d-SRI increases on average several years before the onset of systemic...

This study investigates an early warning indicator for liquidity shortages in the short-term interbank market. To identify structural breaks and their persistence, an autoregressive two-state regime switching model is presented. The variability in the LIBOR-OIS spread along with thresholds,...

The current paper broadens the understanding for the role of uncertainty in the context of a macroeconomic environment. It focuses on the implications of uncertainty shocks on indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area countries...

The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...

Credit-to-GDP gaps are valuable early warning indicators for systemic banking crises. As such,they are useful for identifying vulnerabilities and can help guide the deployment of macroprudential tools such as the build-up of countercyclical capital buffers. In line with Basel III...

Global financial meltdown has shacked the whole world in terms of huge holocaust (both economic and social). This paper made an attempt to examine the Global Financial Catastrophe (GFC) and its impact on macroeconomic indicators of Indian economy. This study has used time series data of selected...

This study provides the first attempt to evaluate whether a logit early warning system (EWS) for systemic banking crises can produce better predictions when political indicators are used alongside traditional macro-financial indicators. Based on a dataset covering 32 advanced economies for the...