IMF working paper formulates new forecasting framework
In a paper titled ‘Systemic Real and Financial Risks: Measurement, Forecasting and Stress Testing', authors Gianni De Nicoló and Marcella Lucchetta formulate a different forecasting framework.
The new model delivers forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; and stress tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard
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