TY  - BOOK
AU  - Lund-Jensen,Kasper
TI  - Monitoring Systemic Risk Basedon Dynamic Thresholds
T2  - IMF Working Papers; Working Paper
SN  - 1475504578 :
SN  - 1018-5941
PY  - 2012///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Banking Crises
KW  - imf
KW  - Banking
KW  - Systemic Banking Crisis
KW  - Systemic Risk
KW  - Algeria
KW  - Dominican Republic
KW  - El Salvador
KW  - Sri Lanka
KW  - United States
N2  - 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 which varies through time. Furthermore, it is shown how the systemic risk forecasts map into crisis signals and how policy thresholds are derived in this framework. Finally, in an out-of-sample exercise, it is shown that the systemic risk estimates provided reliable early warning signals ahead of the recent financial crisis for several economies
UR  - http://elibrary.imf.org/view/IMF001/12896-9781475504576/12896-9781475504576/12896-9781475504576.xml
UR  - http://www.imfbookstore.org/IMFORG/9781475504576
ER  -