Cyclical Patterns of Systemic Risk Metrics : Cross-Country Analysis.
We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995-2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity and s...
| Format: | Žurnal |
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| Jezik: | English |
| Izdano: |
Washington, D.C. :
International Monetary Fund,
2021.
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| Serija: | IMF Working Papers; Working Paper ;
No. 2021/028 |
| Online pristup: | Full text available on IMF |
| Sažetak: | We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995-2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that risks were underestimated by stress indicators in the run-up to the 2008 global financial crisis. The policy implications of conflicting risk signals would depend on the phase of the credit cycle. |
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| Opis djela: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Opis: | 1 online resource (40 pages) |
| Format: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Pristup: | Electronic access restricted to authorized BRAC University faculty, staff and students |