Front Matter Page
Monetary and Capital Markets Department
Contents
I. Introduction
II. Related Literature
III. Econometric Methodology and Model Specification
A. Model Specification
IV. Estimation Results
V. Monitoring Systemic Risk
A. The Signal Extraction Approach
B. Crisis signals based on binary response model
C. Risk Factor Thresholds
D. Out-of-Sample Analysis
VI. Concluding Remarks
References
Tables
1. Countries in Data Sample
2. Systemic Risk Factors based on Dynamic Logit Model, 1970–2010
3. Signal Classification
4. Monitoring Systemic Risk, 1970–2010
5. Monitoring Systemic Risk - Out-of-Sample Analysis: 2001–2010
6. Systemic Risk Factors (1/2), 1970–2010
7. Systemic Risk Factors (2/2), 1970–2010
8. Systemic Risk Factors based on Dynamic Logit Model (Credit-to-GDP Growth), 1970–2010
9. Systemic Banking Crises Dates
Figures
1. Binary Response Model Structure
2. Systemic Banking Crises, 1970–2010
3. Standardized Marginal Effects
4. Systemic Risk Factors
5. Optimal Threshold
6. Systemic Risk Estimates and Crisis Signals
7. Credit-to-GDP Growth Threshold
8. Systemic Risk Estimates for the United States
Appendices
I. Data Sources and Description
II. Binary Response Model Estimation Results
III. Systemic Banking Crises Dates