| 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). text 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 Risk |
| Minor subject | Economic models Overseas item Statistics |
| 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 |