Identifying indicators of systemic risk
نویسندگان
چکیده
We operationalize the definition of systemic risk provided by IMF, BIS, and FSB derive a two-stage hierarchical hypothesis test to identify indicators risk. Applying framework set candidate variables for 45 countries, we detect two credit-based financial cycle that, large, pass our test. However, many other variables, including Basel III credit-to-GDP gap, find that elevated is signaled high values in some countries low others. More generally, results suggest ex ante, can be clearly identified only once turning points have been observed.
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ژورنال
عنوان ژورنال: Journal of International Economics
سال: 2021
ISSN: ['0022-1996', '1873-0353']
DOI: https://doi.org/10.1016/j.jinteco.2021.103512