TY - BOOK ID - 133391839 TI - Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis. AU - Iossifov, Plamen AU - Dutra Schmidt, Tomas PY - 2021 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Banks and Banking KW - Finance: General KW - Macroeconomics KW - Financial Markets and the Macroeconomy KW - Money Supply KW - Credit KW - Money Multipliers KW - Financing Policy KW - Financial Risk and Risk Management KW - Capital and Ownership Structure KW - Value of Firms KW - Goodwill KW - Business Fluctuations KW - Cycles KW - Bankruptcy KW - Liquidation KW - General Financial Markets: Government Policy and Regulation KW - Finance KW - Financial services law & regulation KW - Credit cycles KW - Liquidity risk KW - Solvency KW - Systemic risk KW - Private debt KW - Financial risk management KW - Debt KW - Business cycles KW - Denmark KW - Monetary policy. KW - Fiscal policy. KW - Risk management. UR - https://www.unicat.be/uniCat?func=search&query=sysid:133391839 AB - We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995–2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that risks were underestimated by stress indicators in the run-up to the 2008 global financial crisis. The policy implications of conflicting risk signals would depend on the phase of the credit cycle. ER -