TY - BOOK ID - 11946827 TI - Monitoring Systemic Risk Basedon Dynamic Thresholds AU - Lund-Jensen, Kasper. AU - International Monetary Fund. PY - 2012 SN - 1475504578 1475565461 1475589735 1475537255 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Management KW - Business & Economics KW - Management Styles & Communication KW - Financial risk management. KW - Risk management. KW - Insurance KW - Risk management KW - Banks and Banking KW - Finance: General KW - Macroeconomics KW - Foreign Exchange KW - General Financial Markets: Government Policy and Regulation KW - Financial Crises KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General KW - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: Other KW - Financial Markets and the Macroeconomy KW - Finance KW - Economic & financial crises & disasters KW - Banking KW - Currency KW - Foreign exchange KW - Systemic risk KW - Systemic crises KW - Commercial banks KW - Systemic risk assessment KW - Financial sector policy and analysis KW - Financial crises KW - Financial institutions KW - Real effective exchange rates KW - Financial risk management KW - Banks and banking KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:11946827 AB - Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper, systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect binary response model framework. The model structure is dynamic and is designed for monitoring as the systemic risk forecasts only depend on data that are available in real time. Several risk factors are identified and it is hereby shown that the level of systemic risk contains a predictable component which varies through time. Furthermore, it is shown how the systemic risk forecasts map into crisis signals and how policy thresholds are derived in this framework. Finally, in an out-of-sample exercise, it is shown that the systemic risk estimates provided reliable early warning signals ahead of the recent financial crisis for several economies. ER -