Front Matter Page
Research Department
Authorized for distribution by Stijn Claessens
Contents
I. Introduction
II. Systemic risks
A. Definitions
B. Measurement
III. A Dynamic Factor Model of Systemic Risks
A. Systemic Risk Measures
B. Measures of Systemic Risk Spillovers
IV. Estimation and Forecasting
V. Identification and Stress Tests
A. Orthogonalization
B. Theory-based Identification
VI. Implementation
A. Descriptive Statistics
B. Estimation and Forecasting
C. Identification of Structural Shocks
VII. Conclusion
Tables
1. Descriptive Statistics of Real GDP Growth (GDPG) and the System-wide Financial Risk Indicator (FS)
2. Descriptive Statistics of Systemic Risk Indicators
3. Variance Decomposition of GDP Growth, Inflaction, Bank Lending Growth and Changes in Loan Rates to Identified Aggregate Demand and Bank Credit Demand Shocks
4. Variance Decomposition of GDPaR and FSaR to Identified Aggregate Demand and Bank Credit Demand Shocks
Figures Set
1. GDP Growth and FS Indicators
2. GDPaR and FSaR Estimates and Forecasts (2009q3-2011q2)
3. GDPaR Out-of- Sample Forecasts and Actual GDP Growth (2008q3-2009q1)
4. Impulse Responses of GDP Growth, Inflation, Bank Lending Growth and Change in Lending Rate to Shocks to Factors and Own Shock
5. Impulse Responses of GDPaR and FSaR to Identified Aggregate Demand and Bank Credit Demand Shocks and Own Shock
Appendix: List of Variables
References