Tiago Severo's Books

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

By: Mr.Nicolas R. Blancher,Ms.Srobona Mitra,Mrs.Hanan Morsy,Mr.Akira Otani,Tiago Severo,Ms.Laura Valderrama

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

By: Mr.Nicolas R. Blancher,Ms.Srobona Mitra,Mrs.Hanan Morsy,Mr.Akira Otani,Tiago Severo,Ms.Laura Valderrama

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.

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International Monetary Fund

Published Date

ISBN 10

1484383435

ISBN 13

9781484383438

Financial Shocks and TFP L4318Growth

By: Tiago Severo,Mr.Marcello M. Estevão

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Financial Shocks and TFP L4318Growth

By: Tiago Severo,Mr.Marcello M. Estevão

The paper investigates how changes in industries' funding costs affect total factor productivity (TFP) growth. Based on panel regressions using 31 U.S. and Canadian industries between 1991 and 2007, and using industries' dependence on external funding as an identification mechanism, we show that increases in the cost of funds have a statistically significant and economically meaningful negative impact on TFP growth. This finding cannot be explained by either increasing returns to scale or factor hoarding, as results are not sensitive to controlling for industry size and our calculations account for changes in factor utilization. Based on a stylized theoretical model, the estimates suggest that financial shocks distort the allocation of factors across firms even within an industry, reducing its TFP. The decline in productivity growth accounts for a large fraction of the negative impact of funding costs on output.

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International Monetary Fund

Published Date

ISBN 10

1451962371

ISBN 13

9781451962376

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

By: Tiago Severo

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Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

By: Tiago Severo

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively associated with the Net Stable Funding Ratio (NSFR). The link between equity volatility and the SLRI allows me to calculate the cost that would be borne by public authorities for providing liquidity support to the financial sector. I use this information to estimate a liquidity insurance premium that could be paid by individual banks in order to cover for that social cost.

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International Monetary Fund

Published Date

ISBN 10

1475505434

ISBN 13

9781475505436

Financial Shocks and TFP L4318Growth

By: Tiago Severo,Mr.Marcello M. Estevão

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Financial Shocks and TFP L4318Growth

By: Tiago Severo,Mr.Marcello M. Estevão

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International Monetary Fund

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ISBN 10

1451962371

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9781451962376

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

By: Tiago Severo

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Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

By: Tiago Severo

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International Monetary Fund

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ISBN 10

1475505434

ISBN 13

9781475505436

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

By: Mr.Nicolas R. Blancher,Ms.Srobona Mitra,Mrs.Hanan Morsy,Mr.Akira Otani,Tiago Severo,Ms.Laura Valderrama

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

By: Mr.Nicolas R. Blancher,Ms.Srobona Mitra,Mrs.Hanan Morsy,Mr.Akira Otani,Tiago Severo,Ms.Laura Valderrama

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International Monetary Fund

Published Date

ISBN 10

1484383435

ISBN 13

9781484383438

Shocks, Financial Dependence, and Efficiency

Evidence from U. S. and Canadian Industries

By: Marcello M. Estevão,Tiago Severo

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Shocks, Financial Dependence, and Efficiency

Evidence from U. S. and Canadian Industries

By: Marcello M. Estevão,Tiago Severo

The paper investigates how changes in industries'' funding costs affect total factor productivity (TFP) growth. Based on panel regressions using 31 U.S. and Canadian industries between 1991 and 2007, and using industries'' dependence on external funding as an identification mechanism, we show that increases in the cost of funds have a statistically significant and economically meaningful negative impact on TFP growth. This effect is, however, non-monotonic across sectors with different degrees of dependence on external finance. Our findings cannot be explained by either increasing returns to scale or factor hoarding, as results are not sensitive to controlling for industry size and our calculations account for changes in factor utilization. The paper presents a theoretical model that produces the observed non-monotonic effect of financial shocks on TFP growth and suggests that financial shocks distort the allocation of factors across firms even within an industry, thus reducing TFP growth.

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ISBN 10

1462304222

ISBN 13

9781462304226

Book's by Tiago Severo

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

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

Financial Shocks and TFP L4318Growth

Financial Shocks and TFP L4318Growth

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Financial Shocks and TFP L4318Growth

Financial Shocks and TFP L4318Growth

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

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

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

Shocks, Financial Dependence, and Efficiency

Shocks, Financial Dependence, and Efficiency

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