Macro-financial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events

Tuomas A. Peltonen and Marco Lo Duca

No 1311, Working Paper Series from European Central Bank

Abstract: This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of JEL Classification: E44, E58, F01, F37, G01

Keywords: asset price booms and busts; early warning indicators; Financial stress; macroprudential policies (search for similar items in EconPapers)
Date: 2011-03
New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
Note: 355041
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (71)

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Chapter: Macrofinancial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20111311

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