systemic risk

Publication date: 26 Mar 2018 | Publication type: NIESR Discussion Paper | Theme: Macroeconomics | Authors: Davis, P, Liadze, I, Piggott, R, Hurst, I | External authors: Carreras, O, Warren, J | JEL classification: E58, G28 | NIESR discussion paper number: 490
In this paper we incorporate a macroprudential policy model within a semi-structural global macroeconomic model, NiGEM. The existing NiGEM model is expanded for the UK, Germany and Italy¹ to include two macroprudential tools: loan-to-value ratios on mortgage lending and variable bank capital...
Publication date: 31 Mar 2009 | Publication type: NIESR Discussion Paper | Authors: Barrell, R, Davis, P, Liadze, I | External authors: Dilruba Karim | JEL classification: C52, E58, G21 | NIESR discussion paper number: 330
Early warning systems (EWS) for banking crises generally omit bank capital, bank liquidity and property prices. Most work on EWS has been for global samples dominated by emerging market crises where time series data on bank capital adequacy and property prices are typically absent. We estimate...