Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises
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More about this item
Keywords
early warning models; financial crises; GDP at risk; local projections; quantile regressions; systemic risk;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2019-02-25 (European Economics)
- NEP-RMG-2019-02-25 (Risk Management)
- NEP-URE-2019-02-25 (Urban and Real Estate Economics)
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