01825cas a2200253 a 4500 AALejournalIMF011714 230101c9999 xx r poo 0 0eng d 5.00 USD 9781463937768 1018-5941 BD-DhAAL BD-DhAAL Lucchetta, Marcella. Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing / Marcella Lucchetta, Gianni De Nicolo. Washington, D.C. : International Monetary Fund, 2012. 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 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. Mode of access: Internet De Nicolo, Gianni. IMF Working Papers; Working Paper ; No. 2012/058 Full text available on IMF http://elibrary.imf.org/view/journals/001/2012/058/001.2012.issue-058-en.xml IMF e-Library