Near-Coincident Indicators of Systemic Stress
Near-Coincident Indicators of Systemic Stress

Author: Mr.Ivailo Arsov

Publisher: International Monetary Fund

Published: 2013-05-17

Total Pages: 33

ISBN-13: 1484365992

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The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to develop a measure of what constitutes a systemic stress, or tail, event. We develop such a measure and uses it to assess the performance of eleven near-term systemic risk indicators as ‘early’ warning of distress among top financial institutions in the United States and the euro area. Two indicators perform particularly well in both regions, and a couple of other simple indicators do well across a number of criteria. We also find that the sizes of institutions do not necessarily correspond with their contribution to spillover risk. Some practical guidance for policies is provided.

Near-Coincident Indicators of Systemic Stress
Near-Coincident Indicators of Systemic Stress

Author: Mr.Ivailo Arsov

Publisher: International Monetary Fund

Published: 2013-05-17

Total Pages: 33

ISBN-13: 1484343786

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The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to develop a measure of what constitutes a systemic stress, or tail, event. We develop such a measure and uses it to assess the performance of eleven near-term systemic risk indicators as ‘early’ warning of distress among top financial institutions in the United States and the euro area. Two indicators perform particularly well in both regions, and a couple of other simple indicators do well across a number of criteria. We also find that the sizes of institutions do not necessarily correspond with their contribution to spillover risk. Some practical guidance for policies is provided.

Systemic Risk Tomography
Systemic Risk Tomography

Author: Monica Billio

Publisher: Elsevier

Published: 2016-11-25

Total Pages: 302

ISBN-13: 0081011768

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In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers' crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk.These events inspired the SYRTO project to "think and rethink the economic and financial system and to conceive it as an "ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention. - Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and Corporations - Presents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventions - Offers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system

Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide
Systemic Risk Monitoring (

Author: Mr.Nicolas R. Blancher

Publisher: International Monetary Fund

Published: 2013-07-17

Total Pages: 80

ISBN-13: 1484383435

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There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF for this purpose. It offers detailed and practical guidance on the use of current systemic risk monitoring tools on the basis of six key questions policymakers are likely to ask. It provides "how-to" guidance to select and interpret monitoring tools; a continuously updated inventory of key categories of tools ("Tools Binder"); and suggestions on how to operationalize systemic risk monitoring, including through a systemic risk "Dashboard." In doing so, the project cuts across various country-specific circumstances and makes a preliminary assessment of the adequacy and limitations of the current toolkit.

Denmark
Denmark

Author: International Monetary Fund. Monetary and Capital Markets Department

Publisher: International Monetary Fund

Published: 2014-12-18

Total Pages: 51

ISBN-13: 1484369645

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This technical note discusses significance of macroprudential policies for Denmark. Macroprudential policy seeks to contain the buildup of macrofinancial imbalances associated with credit booms and asset price bubbles, a function which is particularly important in Denmark, where the space for monetary policy action is limited. This note provides an analysis of existing frameworks used in Denmark for identifying systemic risk of both structural and cyclical nature. The note also suggests additional tools that the authorities could use to further enhance their capacity to evaluate systemic risks.

Staff Guidance Note on Macroprudential Policy - Detailed Guidance on Instruments
Staff Guidance Note on Macroprudential Policy - Detailed Guidance on Instruments

Author: International Monetary Fund

Publisher: International Monetary Fund

Published: 2014-07-11

Total Pages: 129

ISBN-13: 1498342604

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This note covers considerations that can guide the staff’s policy advice on the use of a broad range of macroprudential tools. It discusses the transmission and likely effectiveness of these tools in mitigating systemic risks and the set of indicators that can be used in surveillance to assess the need for changes in macroprudential policy settings. This note is a supplement to the Staff Guidance Note on Macroprudential Policy.

Key Aspects of Macroprudential Policy - Background Paper
Key Aspects of Macroprudential Policy - Background Paper

Author: International Monetary Fund. Fiscal Affairs Dept.

Publisher: International Monetary Fund

Published: 2013-10-06

Total Pages: 64

ISBN-13: 1498341713

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The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.

Policy Shock
Policy Shock

Author: Edward J. Balleisen

Publisher: Cambridge University Press

Published: 2017-11-02

Total Pages: 593

ISBN-13: 1108210856

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Policy Shock examines how policy-makers in industrialized democracies respond to major crises. After the immediate challenges of disaster management, crises often reveal new evidence or frame new normative perspectives that drive reforms designed to prevent future events of a similar magnitude. Such responses vary widely - from cosmetically masking inaction, to creating stronger incentive systems, requiring greater transparency, reorganizing government institutions and tightening regulatory standards. This book situates post-crisis regulatory policy-making through a set of conceptual essays written by leading scholars from economics, psychology and political science, which probe the latest thinking about risk analysis, risk perceptions, focusing events and narrative politics. It then presents ten historically-rich case studies that engage with crisis events in three policy domains: offshore oil, nuclear power and finance. It considers how governments can prepare to learn from crisis events - by creating standing expert investigative agencies to identify crisis causes and frame policy recommendations.

Addressing Interconnectedness
Addressing Interconnectedness

Author: Mr.Nicolas Arregui

Publisher: International Monetary Fund

Published: 2013-09-26

Total Pages: 58

ISBN-13: 1475531850

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This paper reviews tools used to identify and measure interconnectedness and raises the awareness of policymakers as to potential cross-sectional implications of prudential tools aimed at controlling interconnectedness. The paper examines two sets of tools—developed at the IMF and externally—to identify the implications of interconnectedness in systemic risk and how these tools have been applied in IMF surveillance. The paper then proposes a preliminary framework to analyze some key internationally-agreed-upon and national prudential tools and finds that while many prudential tools are effective in reducing interconnectedness, the interaction among these tools is far less clear cut.

Business Cycle Indicators
Business Cycle Indicators

Author: Karl Heinrich Oppenländer

Publisher:

Published: 1997

Total Pages: 314

ISBN-13: 9781859724361

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The pressure to produce explanations and forecasts and the economic dichotomies which insist on appearing, lead to a desire to deal with the description, analysis and forecast of the phenomenon of business cycles using economic indicators. This text provides an introduction to business cycles and their theoretical and historical basis. It also includes work on early indicator research and provides examples of business cycle indicators.