Near Coincident Indicators Of Systemic Stress

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Near-Coincident Indicators of Systemic Stress

Mr.Ivailo Arsov,Mr.Elie Canetti,Ms.Laura E. Kodres,Ms.Srobona Mitra
Near Coincident Indicators of Systemic Stress Book PDF

Author : Mr.Ivailo Arsov,Mr.Elie Canetti,Ms.Laura E. Kodres,Ms.Srobona Mitra
Publisher : International Monetary Fund
Page : 33 pages
File Size : 45,6 Mb
Release : 2013-05-17
Category : Business & Economics
ISBN : 9781484343784

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Near-Coincident Indicators of Systemic Stress by Mr.Ivailo Arsov,Mr.Elie Canetti,Ms.Laura E. Kodres,Ms.Srobona Mitra Pdf

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

Mr.Ivailo Arsov,Mr.Elie Canetti,Ms.Laura E. Kodres,Ms.Srobona Mitra
Near Coincident Indicators of Systemic Stress Book PDF

Author : Mr.Ivailo Arsov,Mr.Elie Canetti,Ms.Laura E. Kodres,Ms.Srobona Mitra
Publisher : International Monetary Fund
Page : 33 pages
File Size : 53,5 Mb
Release : 2013-05-17
Category : Business & Economics
ISBN : 9781484365991

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Near-Coincident Indicators of Systemic Stress by Mr.Ivailo Arsov,Mr.Elie Canetti,Ms.Laura E. Kodres,Ms.Srobona Mitra Pdf

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

Monica Billio,Loriana Pelizzon,Roberto Savona
Systemic Risk Tomography Book PDF

Author : Monica Billio,Loriana Pelizzon,Roberto Savona
Publisher : Elsevier
Page : 300 pages
File Size : 54,6 Mb
Release : 2016-11-25
Category : Business & Economics
ISBN : 9780081011768

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Systemic Risk Tomography by Monica Billio,Loriana Pelizzon,Roberto Savona Pdf

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

Mr.Nicolas R. Blancher,Ms.Srobona Mitra,Mrs.Hanan Morsy,Mr.Akira Otani,Tiago Severo,Ms.Laura Valderrama
Systemic Risk Monitoring SysMo Toolkit A User Guide Book PDF

Author : Mr.Nicolas R. Blancher,Ms.Srobona Mitra,Mrs.Hanan Morsy,Mr.Akira Otani,Tiago Severo,Ms.Laura Valderrama
Publisher : International Monetary Fund
Page : 80 pages
File Size : 40,8 Mb
Release : 2013-07-17
Category : Business & Economics
ISBN : 9781484383438

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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 Pdf

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

International Monetary Fund. Monetary and Capital Markets Department
Denmark Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 51 pages
File Size : 51,8 Mb
Release : 2014-12-18
Category : Business & Economics
ISBN : 9781484369647

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Denmark by International Monetary Fund. Monetary and Capital Markets Department Pdf

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

International Monetary Fund
Staff Guidance Note on Macroprudential Policy Detailed Guidance on Instruments Book PDF

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 129 pages
File Size : 41,8 Mb
Release : 2014-07-11
Category : Business & Economics
ISBN : 9781498342605

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Staff Guidance Note on Macroprudential Policy - Detailed Guidance on Instruments by International Monetary Fund Pdf

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

International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department
Key Aspects of Macroprudential Policy Background Paper Book PDF

Author : International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 64 pages
File Size : 51,7 Mb
Release : 2013-10-06
Category : Business & Economics
ISBN : 9781498341714

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Key Aspects of Macroprudential Policy - Background Paper by International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department Pdf

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

Edward J. Balleisen,Lori S. Bennear,Kimberly D. Krawiec,Jonathan B. Wiener
Policy Shock Book PDF

Author : Edward J. Balleisen,Lori S. Bennear,Kimberly D. Krawiec,Jonathan B. Wiener
Publisher : Cambridge University Press
Page : 593 pages
File Size : 53,8 Mb
Release : 2017-11-02
Category : Business & Economics
ISBN : 9781107140219

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Policy Shock by Edward J. Balleisen,Lori S. Bennear,Kimberly D. Krawiec,Jonathan B. Wiener Pdf

In this book, compelling case studies show how past crises have reshaped regulation, and how policy-makers can learn from crises in the future.

Addressing Interconnectedness

Mr.Nicolas Arregui,Mr.Mohamed Norat,Antonio Pancorbo,Jodi G. Scarlata,Eija Holttinen,Fabiana Melo,Jay Surti,Christopher Wilson,Rodolfo Wehrhahn,Mamoru Yanase
Addressing Interconnectedness Book PDF

Author : Mr.Nicolas Arregui,Mr.Mohamed Norat,Antonio Pancorbo,Jodi G. Scarlata,Eija Holttinen,Fabiana Melo,Jay Surti,Christopher Wilson,Rodolfo Wehrhahn,Mamoru Yanase
Publisher : International Monetary Fund
Page : 58 pages
File Size : 52,7 Mb
Release : 2013-09-26
Category : Business & Economics
ISBN : 9781475531855

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Addressing Interconnectedness by Mr.Nicolas Arregui,Mr.Mohamed Norat,Antonio Pancorbo,Jodi G. Scarlata,Eija Holttinen,Fabiana Melo,Jay Surti,Christopher Wilson,Rodolfo Wehrhahn,Mamoru Yanase Pdf

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.

Taming the Cycles of Finance?

Matthias Thiemann
Taming the Cycles of Finance Book PDF

Author : Matthias Thiemann
Publisher : Cambridge University Press
Page : 353 pages
File Size : 48,9 Mb
Release : 2023-12-31
Category : Business & Economics
ISBN : 9781009233132

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Taming the Cycles of Finance? by Matthias Thiemann Pdf

Post-crisis attempts to limit cyclical finance don't lead to major restraints, but rather a sustaining financial markets' expansion.

The Regulatory Responses to the Global Financial Crisis

Mr.Stijn Claessens,Ms.Laura E. Kodres
The Regulatory Responses to the Global Financial Crisis Book PDF

Author : Mr.Stijn Claessens,Ms.Laura E. Kodres
Publisher : International Monetary Fund
Page : 39 pages
File Size : 54,7 Mb
Release : 2014-03-14
Category : Business & Economics
ISBN : 9781484335970

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The Regulatory Responses to the Global Financial Crisis by Mr.Stijn Claessens,Ms.Laura E. Kodres Pdf

We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly aimed at addressing market failures; understanding and incorporating into regulations agents’ incentives so as to align them better with societies’ goals; and acknowledging that risks of crises will always remain, in part due to (unknown) unknowns – be they tipping points, fault lines, or spillovers. Corresponding to these three tenets, specific areas for further reforms are identified. Policy makers need to resist, however, fine-tuning regulations: a “do not harm” approach is often preferable. And as risks will remain, crisis management needs to be made an integral part of system design, not relegated to improvisation after the fact.

An Overview of Macroprudential Policy Tools

Mr.Stijn Claessens
An Overview of Macroprudential Policy Tools Book PDF

Author : Mr.Stijn Claessens
Publisher : International Monetary Fund
Page : 38 pages
File Size : 49,5 Mb
Release : 2014-12-11
Category : Business & Economics
ISBN : 9781498340939

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An Overview of Macroprudential Policy Tools by Mr.Stijn Claessens Pdf

Macroprudential policies – caps on loan to value ratios, limits on credit growth and other balance sheets restrictions, (countercyclical) capital and reserve requirements and surcharges, and Pigouvian levies – have become part of the policy paradigm in emerging markets and advanced countries alike. But knowledge is still limited on these tools. Macroprudential policies ought to be motivated by market failures and externalities, but these can be hard to identify. They can also interact with various other policies, such as monetary and microprudential, raising coordination issues. Some countries, especially emerging markets, have used these tools and analyses suggest that some can reduce procyclicality and crisis risks. Yet, much remains to be studied, including tools’ costs ? by adversely affecting resource allocations; how to best adapt tools to country circumstances; and preferred institutional designs, including how to address political economy risks. As such, policy makers should move carefully in adopting tools.

IMF Research Bulletin, September 2013

International Monetary Fund. Research Dept.
IMF Research Bulletin September 2013 Book PDF

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
Page : 16 pages
File Size : 55,6 Mb
Release : 2013-09-16
Category : Business & Economics
ISBN : 9781475558531

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IMF Research Bulletin, September 2013 by International Monetary Fund. Research Dept. Pdf

The Research Summaries in the September 2013 IMF Research Bulletin focus on “External Conditions and Debt Sustainability in Latin America” (Gustavo Adler and Sebastian Sosa) and “Monetary Policy Cyclicality in Emerging Markets” (Donal McGettigan, Kenji Moriyama, and Chad Steinberg). In the Q&A, Itai Aigur and Sunil Sharma discuss “Seven Questions on Macroprudential Policy Frameworks.” The Research Bulletin also includes an updated listing of recent IMF Working Papers, Staff Discussion Notes, and Recommended Readings from the IMF Bookstore, as well as information on a forthcoming conference. The IMF Economic Review’s new Impact Factor is also highlighted.

Monetary Policy and Financial Stability

Janet Louise Yellen,International Monetary Fund
Monetary Policy and Financial Stability Book PDF

Author : Janet Louise Yellen,International Monetary Fund
Publisher : International Monetary Fund
Page : 68 pages
File Size : 43,7 Mb
Release : 2015-08-28
Category : Business & Economics
ISBN : 9781498344265

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Monetary Policy and Financial Stability by Janet Louise Yellen,International Monetary Fund Pdf

The issue of using monetary policy for financial stability purposes is hotly contested. The crisis was a reminder that price stability is not sufficient for financial stability, financial crises are costly, and policy should aim to decrease the likelihood of crises, not only rely on dealing with their repercussions once they occur. It is clear that well-targeted prudential policies (including micro and macroprudential regulation and supervision) should be pursued actively to attenuate the buildup of financial risks. The question is whether monetary policy should be altered to contain financial stability risks. Should it lend a hand by temporarily raising interest rates more than warranted by price and output stability objectives? Keeping rates persistently higher is also possible, but more costly.

Evaluating the Net Benefits of Macroprudential Policy

Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos
Evaluating the Net Benefits of Macroprudential Policy Book PDF

Author : Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos
Publisher : International Monetary Fund
Page : 73 pages
File Size : 40,7 Mb
Release : 2013-07-17
Category : Business & Economics
ISBN : 9781484335727

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Evaluating the Net Benefits of Macroprudential Policy by Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos Pdf

The paper proposes a simple, new, analytical framework for assessing the cost and benefits of macroprudential policies. It proposes a measure of net benefits in terms of parameters that can be estimated: the probability of crisis, the loss in output given crisis, policy effectiveness in bringing down both the probability and damage during crisis, and the output-cost of a policy decision. It discusses three types of policy leakages and identifies instruments that could best minimize the leakages. Some rules of thumb for policymakers are provided.