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Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

By: Mr.Plamen K Iossifov,Tomas Dutra Schmidt

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Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

By: Mr.Plamen K Iossifov,Tomas Dutra Schmidt

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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Page Count

40

Publisher

International Monetary Fund

Published Date

ISBN 10

1513568655

ISBN 13

9781513568652

Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

By: Mr.Plamen K Iossifov,Tomas Dutra Schmidt

Write a review Read reviews Take a Quiz Solve Book Puzzle

Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

By: Mr.Plamen K Iossifov,Tomas Dutra Schmidt

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.

Average ratings

N/A

5

0%

4

0%

3

0%

2

0%

1

0%

Write a review

Solve jigsaw puzzle

Age

Page Count

40

Publisher

International Monetary Fund

Published Date

ISBN 10

1513568655

ISBN 13

9781513568652

Book's by Tomas Dutra Schmidt

Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

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