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Procyclicality and the search for early warning indicators / Hyun Song Shin

This paper compares three types of early warning indicators of financial instability ? those based on financial market prices, those based on normalized measures of total credit and those based on liabilities of financial intermediaries. Prices perform well as concurrent indicators of market conditi... Full description

PPN (Catalogue-ID): 776976117
Personen: Shin, Hyun Song
Format: eBook eBook
Enthält: Cover; Contents; I. Introduction; II. Price-based Early Warning Indicators; Figure; 1. CDS Spreads for Bear Stearns and Lehman Brothers; 2. Two-Year Changes in Assets, Debt, Equity and Risk-Weighted Assets of Barclays (1992-2010); III. Credit to GDP gap indicators; IV. Bank liability aggregates, including some monetary aggregates; 3. Credit to GDP Ratio and GDP Growth for United Kingdom; 4. Cross-Border Euro-Denominated Assets and Liabilities of Eurozone Banks; V. Core and Non-Core Liabilities in China; 5. Monthly Growth Rates of H-P-Filtered Bank Liability Aggregates (Korea and China)
Language: English
Published: Washington, DC, IMF, 2013
Series: IMF working paper (13/258)
Subjects:

Finanzmarkt / Frühwarnsystem

Notes: Description based upon print version of record
Physical Description: Online-Ressource (15 S.), graph. Darst.
Technische Details: Systemvoraussetzungen: Acrobat Reader.
ISBN: 978-1-4843-2083-9

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520 |a This paper compares three types of early warning indicators of financial instability ? those based on financial market prices, those based on normalized measures of total credit and those based on liabilities of financial intermediaries. Prices perform well as concurrent indicators of market conditions but are not suitable as early warning indicators. Total credit and liabilities convey similar information and perform better as early warning indicators, but liabilities are more transparent and the decomposition between core and non-core liabilities convey additional useful information 
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