Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/15632
Title: Evaluating Concentration and Distribution Measures of IMF Financial Soundness Indicators
Authors: Davis, EP
Issue Date: 23-Nov-2017
Publisher: Brunel University London
Citation: Davis, E.P. (2017) 'Evaluating Concentration and Distribution Measures of IMF Financial Soundness Indicators', Brunel University London. Department of Economics and Finance Working Paper No 17-23, pp. 1 - 23. Available at: https://www.brunel.ac.uk/economics-and-finance/research/pdf/1723.pdf..
Series/Report no.: Brunel University London. Department of Economics and Finance Working Papers;No. 17-23
Abstract: This paper is a first approach to assessing the analytical usefulness of Concentration and Distribution Measures (CDMs) of IMF Financial Soundness Indicators (FSIs) in financial surveillance, using an experimental data collection of the IMF from 36 countries for up to 8 years (2007-2014). Besides illustrating the use made of CDMs in recent policy and academic work, we show econometrically annually over 2008-14 that a range of these CDMs can help to predict system wide vulnerabilities, with appropriate control variables to reduce omitted variable bias. Overall, the exercise lends support to the IMF’s intention to collect CDM data on a regular basis, and supports the argument made in IMF (2013) that CDMs would “allow policy makers and Fund staff to better identify potential build-up of systemic risks, thus providing additional inputs for macro-financial managemen
URI: https://bura.brunel.ac.uk/handle/2438/15632
Appears in Collections:Dept of Economics and Finance Research Papers

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