Procyclicality and the Search for Early Warning Indicators

Author/Editor:

Hyun S Shin

Publication Date:

December 20, 2013

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 13/258

Subject:

English

Publication Date:

December 20, 2013

ISBN/ISSN:

9781484320839/1018-5941

Stock No:

WPIEA2013258

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

16

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