Cyclical patterns of systemic risk metrics [electronic resource] : cross-country analysis / by Plamen K. Iossifov [and one other].

[Washington, D.C.] : International Monetary Fund, 2021.©2021

Iossifov, Plamen. author.

International Monetary Fund. issuing body.

01-01-2021

1 online resource (40 pages).

text

online resource

IMF working paper ; no. 21/28

IMF working paper ; no. 21/28.

WEB (Copy 1) INTRANET 1271710-1001 ONLINE

Open item 

Economic cycles

Risk

Economic models

Overseas item

Statistics

"February 2021"

Includes bibliographical references.

9781513568652

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.

1271710

1271710-1001

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