Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis

Plamen Iossifov
Authors registered in the RePEc Author Service: Пламен Йосифов

No 2021/028, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: credit cycle.; WP; risk metrics; risk index; risk indices; solvency risk; interest rate; mispricing risk (search for similar items in EconPapers)
Pages: 40
Date: 2021-02-05
New Economics Papers: this item is included in nep-fdg, nep-mac and nep-rmg
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