Systemic Real and Financial Risks

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Systemic Real and Financial Risks is written by Mr.Gianni De Nicolo and published by International Monetary Fund. It's available with International Standard Book Number or ISBN identification 1463937768 (ISBN 10) and 9781463937768 (ISBN 13).

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. Using a large number of quarterly time series of the G-7 economies in 1980Q1-2010Q2, we show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations, and that stress testing provides useful early warnings on the build-up of real and financial vulnerabilities.