01985cas a2200241 a 4500 AALejournalIMF011944 230101c9999 xx r poo 0 0eng d 5.00 USD 9781475504576 1018-5941 BD-DhAAL BD-DhAAL Lund-Jensen, Kasper. Monitoring Systemic Risk Basedon Dynamic Thresholds / Kasper Lund-Jensen. Washington, D.C. : International Monetary Fund, 2012. 1 online resource (36 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 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. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2012/159 Full text available on IMF http://elibrary.imf.org/view/journals/001/2012/159/001.2012.issue-159-en.xml IMF e-Library