Predicting the likelihood and severity of financial crises over the medium term with a cyclical systemic risk indicator

Carsten Detken, Stephan Fahr and Jan Hannes Lang

Financial Stability Review, 2018, vol. 1

Abstract: This special feature presents a tractable, transparent and broad-based cyclical systemic risk indicator (CSRI) that captures risks stemming from domestic credit, real estate markets, asset prices, external imbalances and cross-country spillovers. The CSRI increases on average several years before the onset of systemic financial crises and its level is highly correlated with measures of crisis severity. Model estimates suggest that high values of the CSRI contain information about large declines in real GDP growth three to four years down the road, as it precedes shifts in the entire distribution of future real GDP growth and especially of its left tail. Given its timely signals, the CSRI is a useful analytical tool for macroprudential policymakers to complement other existing analytical tools. JEL Classification: G00

Keywords: cyclical systemic risk indicator; financial crises (search for similar items in EconPapers)
Date: 2018-05
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.ecb.europa.eu//pub/financial-stability ... rart201805_2.en.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:fsrart:2018:0001:2

Access Statistics for this article

More articles in Financial Stability Review from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().