02117cas a2200253 a 4500 AALejournalIMF006270 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451962567 1018-5941 BD-DhAAL BD-DhAAL Lucchetta, Marcella. Systemic Risks and the Macroeconomy / Marcella Lucchetta, Gianni De Nicolo. Washington, D.C. : International Monetary Fund, 2010. 1 online resource (41 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet De Nicolo, Gianni. IMF Working Papers; Working Paper ; No. 2010/029 Full text available on IMF http://elibrary.imf.org/view/journals/001/2010/029/001.2010.issue-029-en.xml IMF e-Library