Systemic Risks and the Macroeconomy
Systemic Risks and the Macroeconomy
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DOI：
10.3386/w16998
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发表时间：
2010-02
期刊：
影响因子：
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通讯作者：
Gianni De Nicoló;M. Lucchetta
中科院分区：
文献类型：
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作者：
Gianni De Nicoló;M. Lucchetta
本文提出了一个建模框架，提供联合预测的指标系统性真实的风险和系统性金融风险，以及压力测试这些指标的脉冲响应，以结构性冲击确定的标准宏观经济和银行理论。这一框架是利用1980年第一季度至2009年第三季度七国集团经济体金融和真实的活动指标的大量季度时间序列来实施的。我们得到两个主要结果。首先，有证据表明，对几个国家的真实的活动的尾部风险实现的样本外预测能力，表明该模型作为风险监测工具的有用性。第二，在所有国家，总需求冲击是真实的周期的主要驱动力，而银行信贷需求冲击是银行借贷周期的主要驱动力。这些结果挑战了普遍的看法，即信贷供应总量的限制是2008年第4季度至2009年第1季度七国集团经济体真实的活动急剧下滑的主要驱动因素。
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.