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150128 ||| eng |
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|a 9781451962567
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| 100 |
1 |
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|a Lucchetta, Marcella
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| 245 |
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|a Systemic Risks and the Macroeconomy
|c Marcella Lucchetta, Gianni De Nicolo
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2010
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| 300 |
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|a 41 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Credit
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| 653 |
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|a Banks
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| 653 |
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|a Finance
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| 653 |
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|a Dynamic Treatment Effect Models
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| 653 |
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|a Banks and banking
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| 653 |
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|a Industries: Financial Services
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| 653 |
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|a Financial sector policy and analysis
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| 653 |
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|a Deflation
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| 653 |
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|a Mortgages
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| 653 |
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|a Vector autoregression
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| 653 |
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|a Money
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| 653 |
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|a Time-Series Models
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| 653 |
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|a Systemic risk
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| 653 |
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|a Financial risk management
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| 653 |
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|a Bank credit
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| 653 |
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|a Macroeconomics
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| 653 |
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|a Banking
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| 653 |
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|a Econometrics
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| 653 |
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|a Econometrics & economic statistics
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Inflation
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| 653 |
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|a Econometric analysis
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| 653 |
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|a Monetary economics
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| 653 |
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|a Financial institutions
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| 653 |
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|a General Financial Markets: Government Policy and Regulation
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| 653 |
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|a Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Diffusion Processes
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| 653 |
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|a Price Level
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| 653 |
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|a Loans
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Prices
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| 653 |
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|a Dynamic Quantile Regressions
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| 653 |
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|a Money and Monetary Policy
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| 653 |
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|a Finance: General
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| 700 |
1 |
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|a De Nicolo, Gianni
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
0 |
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|a IMF Working Papers
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| 028 |
5 |
0 |
|a 10.5089/9781451962567.001
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| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2010/029/001.2010.issue-029-en.xml?cid=23593-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
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|a 330
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| 520 |
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|a This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period. We obtain two main results. First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool. Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4- 2009Q1
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