TY  - JOUR
AU  - De Nicolò, Gianni
AU  - Lucchetta, Marcella
TI  - Systemic Risks and the Macroeconomy
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16998
PY  - 2011
Y2  - April 2011
DO  - 10.3386/w16998
UR  - http://www.nber.org/papers/w16998
L1  - http://www.nber.org/papers/w16998.pdf
N1  - Author contact info:
Gianni De Nicolo
Johns Hopkins University
Carey Business School
100 International Drive
Baltimore, MD 21202
United States
Tel: 3017754168
E-Mail: gdenico1@jhu.edu

Marcella Lucchetta
University of Venice Ca' Foscari
E-Mail: lucchett@unive.it
M1  - published as Gianni De Nicolò, Marcella Lucchetta. "Systemic Risks and the Macroeconomy," in Joseph G. Haubrich and Andrew W. Lo, editors, "Quantifying Systemic Risk" University of Chicago Press (2013)

M3  - presented at "Research Conference on Quantifying Systemic Risk", November 6, 2009
AB  - This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period. We obtain two main results. First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool. Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4-2009Q1.
ER  -