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Author | : Mr.Kasper Lund-Jensen |
Publisher | : International Monetary Fund |
Total Pages | : 36 |
Release | : 2012-06-01 |
Genre | : Business & Economics |
ISBN | : 1475537255 |
Download Monitoring Systemic Risk Basedon Dynamic Thresholds Book in PDF, ePub and Kindle
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.
Author | : Mr.Kasper Lund-Jensen |
Publisher | : International Monetary Fund |
Total Pages | : 36 |
Release | : 2012-06-01 |
Genre | : Business & Economics |
ISBN | : 1475504578 |
Download Monitoring Systemic Risk Basedon Dynamic Thresholds Book in PDF, ePub and Kindle
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.
Author | : International Monetary Fund. Research Dept. |
Publisher | : International Monetary Fund |
Total Pages | : 17 |
Release | : 2012-09-27 |
Genre | : Business & Economics |
ISBN | : 1475510861 |
Download IMF Research Bulletin, September 2012 Book in PDF, ePub and Kindle
The research summaries in the September 2012 issue of the IMF Research Bulletin are "Surges in Capital Flows: Why History Repeats Itself" (by Mahvash S. Qureshi) and "The LIC-BRIC Linkage: Growth Spillovers" (by Issouf Samake, Yongzheng Yang, and Catherine Pattillo). The Q&A covers "Seven Questions on Monetary Transmission in Low-Income Countries" (by Prachi Mishra and Peter Montiel). "Conversations with a Visiting Scholar" features an interview with IMF Fellow Olivier Coibion. Also included in this issue are details on the IMF Fellowship Program, visiting scholars at the IMF, a listing of recently published IMF Working Papers and Staff Discussion Notes, and an announcement on IMF Economic Review's first Impact Factor.
Author | : Mr.Tom Gole |
Publisher | : International Monetary Fund |
Total Pages | : 29 |
Release | : 2013-05-22 |
Genre | : Business & Economics |
ISBN | : 1484335422 |
Download Financial Structures and Economic Outcomes Book in PDF, ePub and Kindle
This paper investigates the potential relationships between financial structures and economic outcomes. The empirical results that withstand a battery of methods suggest that some financial intermediation structures are likely to be more closely related to positive economic outcomes than others. For instance, protective financial buffers within institutions have been associated with better economic performance, and a domestic financial system that is dominated by some types of nontraditional bank intermediation or that has a high proportion of foreign banks has in some cases been associated with adverse economic outcomes, especially during the financial crisis. The results also suggest that there may be trade-offs between beneficial effects on growth and stability of some financial structures. For example, the positive association of financial buffers with growth can diminish above a certain, relatively high, threshold—a too-safe system may limit the available funds for credit and hence growth.
Author | : Jørgen Vitting Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 194 |
Release | : 2013-12-11 |
Genre | : Business & Economics |
ISBN | : 3642419445 |
Download An Introduction to Socio-Finance Book in PDF, ePub and Kindle
This introductory text is devoted to exposing the underlying nature of price formation in financial markets as a predominantly sociological phenomenon that relates individual decision-making to emergent and co-evolving social and financial structures. Two different levels of this sociological influence are considered: First, we examine how price formation results from the social dynamics of interacting individuals, where interaction occurs either through the price or by direct communication. Then the same processes are revisited and examined at the level of larger groups of individuals. In this book, models of both levels of socio-finance are presented, and it is shown, in particular, how complexity theory provides the conceptual and methodological tools needed to understand and describe such phenomena. Accordingly, readers are first given a broad introduction to the standard economic theory of rational financial markets and will come to understand its shortcomings with the help of concrete examples. Complexity theory is then introduced in order to properly account for behavioral decision-making and match the observed market dynamics. This book is conceived as a primer for newcomers to the field, as well as for practitioners seeking new insights into the field of complexity science applied to socio-economic systems in general, and financial markets and price formation in particular.
Author | : International Monetary Fund. Monetary and Capital Markets Department |
Publisher | : International Monetary Fund |
Total Pages | : 443 |
Release | : 2012-11-30 |
Genre | : Business & Economics |
ISBN | : 1475510950 |
Download Global Financial Stability Report, October 2012 Book in PDF, ePub and Kindle
The October 2012 Global Financial Stability Report (GFSR) finds increased risks to the global financial system, with the euro area crisis the principal source of concern, and urges policymakers to act now to restore confidence, reverse capital flight, and reintegrate the euro zone. This GFSR presents a report on whether regulatory reforms are moving the financial system in the right direction, and finds that progress has been limited, partly because many reforms are in the early stages of implementation and partly because crisis intervention methods are still in use in a number of economies, delaying the movement of the financial system onto a safer path. The final chapter examines whether certain aspects of financial structure enhance economic outcomes. Indeed, some structural features are associated with better outcomes. In particular, financial buffers made up of high-quality capital and truly liquid assets tend to be associated with better economic performance.
Author | : Valentina Flamini |
Publisher | : International Monetary Fund |
Total Pages | : 28 |
Release | : 2019-02-22 |
Genre | : Business & Economics |
ISBN | : 1484397991 |
Download Credit Cycle and Capital Buffers in Central America, Panama, and the Dominican Republic Book in PDF, ePub and Kindle
Credit is key to support healthy and sustainable economic growth but excess aggregate credit growth can signal the build-up of imbalances and lead to systemic financial crisis. Hence, monitoring the credit cycle is key to identifying vulnerabilities, particularly in emerging markets, which tend to be more exposed to sudden external shocks and reversal in capital flows. We estimate the credit cycle in Central America, Panama, and the Dominican Republic and find that the creadit gap is a powerful predictor of systemic vulnerability in the region. We simulate the activation of the Basel III countercyclical capital buffers and discuss the macroprudential policy implications of the results, arguing that countercyclical macroprudential policies based on the credit gap could prove useful to enhance the resilience of the region’s financial sector but the activation of macroprudential instruments should also be informed by the development of other macrofinancial variables and by expert judgment.
Author | : Ms.Kimberly Beaton |
Publisher | : International Monetary Fund |
Total Pages | : 308 |
Release | : 2019-09-13 |
Genre | : Business & Economics |
ISBN | : 1484370287 |
Download Paving the Way to Sustained Growth and Prosperity in Central America, Panama, and the Dominican Republic Book in PDF, ePub and Kindle
Abstract: Accelerating economic growth in Central America, Panama and the Dominican Republic (CAPDR) remains an elusive task. While the region performed relatively well in the post-global financial crisis period, over the last five years obstacles to growth have become more evident and new challenges have emerged. In response, the region has strengthened macro-financial frameworks but more progress will be required to pave the way to sustained growth and prosperity. This book considers the structural factors underlying the region’s growth outlook and assesses its macroeconomic and financial challenges to help shape the policy agenda going forward. The book first identifies the structural determinants of growth in the region related to: capital formation; employment; demographic factors, including immigration; productivity; and violence. It then highlights the importance of creating fiscal space through the design and implementation of fiscal rules and mechanisms to increase accountability (better quality of public spending, adequate policies to reduce income inequality and sustainable retirement plans). Finally, it presents recent evidence on the importance of a supportive financial sector for growth (including through financial inclusion and development).
Author | : International Monetary Fund. Fiscal Affairs Dept. |
Publisher | : International Monetary Fund |
Total Pages | : 62 |
Release | : 2013-10-06 |
Genre | : Business & Economics |
ISBN | : 1498341705 |
Download Key Aspects of Macroprudential Policy Book in PDF, ePub and Kindle
The crisis has underscored the costs of systemic instability at both the national and the global levels and highlighted the need for dedicated macroprudential policies to achieve financial stability. Building on recent advances, this paper provides a framework to inform the IMF’s country-specific advice on macroprudential policy. It recognizes that developing macroprudential policy is a work in progress, and addresses key issues to help ensure its effectiveness.
Author | : International Monetary Fund. Western Hemisphere Dept. |
Publisher | : International Monetary Fund |
Total Pages | : 61 |
Release | : 2014-07-22 |
Genre | : Business & Economics |
ISBN | : 1498328350 |
Download Chile Book in PDF, ePub and Kindle
This Selected Issues paper on Chile seeks to explain why foreign ownership of locally issued sovereign bonds is so low in Chile and its implications. The low foreign ownership seems to be the result of a combination of macroeconomic, regulatory, and technical factors. The Financial Stability Report discusses the issue, and points to the tax on capital gains, costs for custody of securities and other administrative costs, and the relatively small size of the sovereign bond market as the reasons. Our study also finds that a combination of factors contributed to the low foreign ownership, including a moderate supply of sovereign bonds shadowed by strong local demand, illiquid secondary market, tax and administrative burden, the dominance of inflation-indexed bonds, and inconvenience and potential risks associated with foreign exchange transactions. The small size of the market for nominal bonds, the lack of a liquid secondary market, the previous tax regime and existing administrative burden, and transaction costs in the foreign exchange market seem to be the main reasons.