Title Cyclical patterns of systemic risk metrics [electronic resource] : cross-country analysis / by Plamen K. Iossifov [and one other].
Imprint [Washington, D.C.] : International Monetary Fund, 2021.©2021
Author Iossifov, Plamen. author.
International Monetary Fund. issuing body.
Date 01-01-2021
Physical description 1 online resource (40 pages).
online resource
Series IMF working paper ; no. 21/28
IMF working paper ; no. 21/28.
Item WEB (Copy 1) INTRANET 1271710-1001 ONLINE
URL Available from internal network: https://err.parl.net/client/en_GB/search/asset/84342/0
Major subject Economic cycles
Minor subject Economic models
Overseas item
Notes "February 2021"
Includes bibliographical references.
ISBN 9781513568652
Abstract 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.
LCN 1271710
Item ID 1271710-1001
Database Library Catalogue