| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16998 |
| 来源ID | Working Paper 16998 |
| Systemic Risks and the Macroeconomy | |
| Gianni De Nicolò; Marcella Lucchetta | |
| 发表日期 | 2011-04-28 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Macroeconomic Models ; Money and Interest Rates ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w16998 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574672 |
| 推荐引用方式 GB/T 7714 | Gianni De Nicolò,Marcella Lucchetta. Systemic Risks and the Macroeconomy. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16998.pdf（809KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
