Front Matter
  • 1 0000000404811396https://isni.org/isni/0000000404811396International Monetary Fund

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

Monitoring Systemic Risk Basedon Dynamic Thresholds
Author: Mr. Kasper Lund-Jensen