Benchmarking IFS data with national data sources is not always possible. As highlighted by Jerven (2016), some DECs adopt the IMF reporting standards for their domestic data collections; some other jurisdictions, however, use the IMF definitions and reporting standards only for reporting to the IMF while keeping a different official reporting domestically. That is, from a practical viewpoint, balance sheet banking data from national sources does not allow for cross-country comparison due to the lack of harmonization. For example in the left-hand panel
This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. Using a large number of quarterly time series of the G-7 economies in 1980Q1-2010Q2, we show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations, and that stress testing provides useful early warnings on the build-up of real and financial vulnerabilities. JEL Classification Numbers: C5, E3, G2
This paper investigates whether the substitute compliance framework under the new US regime for over-the-counter derivatives has stimulated regulatory arbitrage. Results point to increased post-regulatory concentration in exposure in those countries in which US banks comply with local derivative regulation.
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