Series: IMF Working Papers
Author(s): Marcella Lucchetta , and Gianni De Nicolo
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 February 2012
Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations
This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...