Systemic risks and the macroeconomy
By: Gianni De Nicolò, Marcella Lucchetta
Contributors: Lucchetta, Marcella; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16998; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16998.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory.  This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period.  We obtain two main results.  First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool.  Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle.  These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4-2009Q1.Published: Systemic Risks and the Macroeconomy, Gianni De Nicolò, Marcella Lucchetta, in Quantifying Systemic Risk (2010), University of Chicago Press"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 7/7/2011.

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