Systemic Risk EarlyWarning System: A Micro-Macro Prudential Synthesis

Oet, Mikhail V.; Eiben, Ryan; Bianco, Timothy; Gramlich, Dieter; Ong, Stephen J.; Wang, Jing

doi:10.1017/cbo9781139151184.038

Cited by 3 publications

(1 citation statement)

References 28 publications

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“…We should broaden the investment channels, make rational allocation between the savings deposits and the capital market investment, avoid over-investment in the real estate market, and gradually release the rising pressure on the price of assets; Last but not the least, build a good early warning indicator system. A well-responsive and robust operational indicator system can monitor the risks of all sectors of the financial system [5]. All financial institutions and financial regulatory departments should strengthen the collection and compilation of statistical data, dynamically collect information on changes of data indicators in real estate market, continuously improve the early warning and treatment mechanisms for systemic financial risks in China.…”

Section: Conclutions and Policy Recommendationsmentioning

confidence: 99%

Systemic Financial Risk Early Warning System Based on House Price Fluctuation Factor

Guo¹,

Fan²

2018

dtem

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In today's economic globalization, financial security is threatened by a variety of risk factors, of which the real estate market is a particularly important factor in these risk factors. This paper selects asset bubble risk index, macroeconomic risk indicator, currency market risk indicator and foreign exchange market risk indicator to establish a systemic financial risk early warning indicator system based on housing price fluctuation risk factor. The study found that the average annual sales growth rate of commercial housing and the real effective exchange rate are positively correlated with the probability of financial crisis; GDP growth rate, CPI year-on-year growth rate, M2 growth rate, export growth rate are negative related with the probability of financial crisis. 1

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Section: Conclutions and Policy Recommendationsmentioning

confidence: 99%

Systemic Financial Risk Early Warning System Based on House Price Fluctuation Factor

Guo¹,

Fan²

2018

dtem

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SAFE: An early warning system for systemic banking risk

Oet

Bianco

Gramlich

et al. 2013

Journal of Banking & Finance

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This paper builds on existing microprudential and macroprudential early warning systems (EWSs) to develop a new, hybrid class of models for systemic risk, incorporating the structural characteristics of the fi nancial system and a feedback amplifi cation mechanism. The models explain fi nancial stress using both public and proprietary supervisory data from systemically important institutions, regressing institutional imbalances using an optimal lag method. The Systemic Assessment of Financial Environment (SAFE) EWS monitors microprudential information from the largest bank holding companies to anticipate the buildup of macroeconomic stresses in the fi nancial markets. To mitigate inherent uncertainty, SAFE develops a set of medium-term forecasting specifi cations that gives policymakers enough time to take ex-ante policy action and a set of short-term forecasting specifi cations for verifi cation and adjustment of supervisory actions. This paper highlights the application of these models to stress testing, scenario analysis, and policy.

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Policy in Adaptive Financial Markets — The Use of Systemic Risk Early Warning Tools

2013

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How can a systemic risk early warning system (EWS) facilitate the fi nancial stability work of policymakers? In the context of evolving fi nancial market dynamics and limitations of microprudential policy, this study examines new directions for fi nancial macroprudential policy. A fl exible macroprudential approach is anchored in strategic capacities of systemic risk EWSs. Tactically, macroprudential applications are founded on information about the level, structure, and institutional drivers of systemic fi nancial stress and aim to manage the fi nancial system risk and imbalances in two dimensions: across time and institutions. Time-related EWS policy applications are analyzed in pursuit of prevention and mitigation. EWS applications across institutions are considered via common exposures and interconnectedness. Care must be taken in the calibration of macroprudential applications, given their reliance on quality of the underlying systemic risk-modeling framework.

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Systemic Risk EarlyWarning System: A Micro-Macro Prudential Synthesis

Cited by 3 publications

References 28 publications

Systemic Financial Risk Early Warning System Based on House Price Fluctuation Factor

Systemic Financial Risk Early Warning System Based on House Price Fluctuation Factor

SAFE: An early warning system for systemic banking risk

Policy in Adaptive Financial Markets — The Use of Systemic Risk Early Warning Tools

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