Analytical Work on Financial Stability
Source details
- Canonical URL
- Analytical Work on Financial Stability
Other formats
Financial Sector Assessment Program (FSAP) and Overviews
- Financial Sector Assessment Program (FSAP) - Main Page
- The Financial Sector Assessment Program (FSAP) - A Factsheet
- FSAP: Frequently Asked Questions
- FSAPs and Systemically Important Financial Sectors (SIFS)
- FSAP Policy Papers
- Standards and Codes
- Financial Soundness Indicators (FSIs)
Stress Testing — Methods, Models, and Guides
- Cihak, Martin. 2007. "Introduction to Applied Stress Testing." IMF Working Paper 07/59, International Monetary Fund, Washington, DC.
- Adrian, Tobias, James Morsink, Liliana B Schumacher. 2020. "Stress Testing at the IMF." IMF Departmental Paper 20/04, International Monetary Fund, Washington, D.C.
- Chan-Lau Jorge A. 2017. "Lasso Regressions and Forecasting Models in Applied Stress Testing." IMF Working Paper 17/108, International Monetary Fund, Washington, D.C.
- Hardy, C Daniel, Christian Schmieder. 2013. "Rules of Thumb for Bank Solvency Stress Testing." IMF Working Paper No. 13/232, International Monetary Fund, Washington, D.C.
- Ong, L Li, Rodolfo Maino, Nombulelo Braiton. 2010. "Into the Great Unknown : Stress Testing with Weak Data." IMF Working Paper 10/282, International Monetary Fund, Washington, D.C.
- Ong, Li Lian. 2014. "A Guide to IMF Stress Testing : Methods and Models." International Monetary Fund, Washington, D.C.
- Schmieder, Christian; Maher Hasan, Claus Puhr. 2011. "Next Generation Balance Sheet Stress Testing." IMF Working Paper No. 11/83, International Monetary Fund, Washington, D.C.
- Swinburne, Mark; Stolz, Stéphanie Marie; Moretti, Marina, "Stress Testing at the IMF", Working Paper No. 08/206
- Jobst, Andreas A, Li L Ong, Christian Schmieder. 2013. "A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs." IMF Working Paper No. 13/68, International Monetary Fund, Washington, D.C.
- Hiroko, Oura, Liliana Schumacher. 2012. "Macrofinancial Stress Testing—Principles and Practices." IMF Policy Paper
Model Uncertainty, Structural Approaches, and Capitalization
- Gross, M. and Población, J. (2019), "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Vol. 55(1), pp. 31-58.
- Gross, M., Dubiel-Teleszynski, T., and Población, J. (2019). "A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime," International Review of Economics & Finance, Vol. 59, pp. 1-13.
- Andreas A. Jobs, Hiroko Oura. 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing." IMF Departmental Paper 19/266, International Monetary Fund, Washington, D.C.
- Gross, M., Laliotis, D., Leika, M., and Lukyantsau, P. 2020. “Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective” IMF Working Paper No. 20/111, International Monetary Fund, Washington, D.C.
- Fabian T. Lipinsky, Mirela S. Miescu. 2020. "Capital Gaps, Risk Dynamics, and the Macroeconomy" IMF Working Paper No. 20/209, International Monetary Fund, Washington, D.C.
Macroprudential Stress Tests and Systemic Risk Quantification
- Alla, Zineddine, Raphael A Espinoza, Qiaoluan H Li, Migue A Segoviano Basurto. 2018. :Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses." IMF Working Paper 18/49, International Monetary Fund, Washington, D.C.
- Anderson, Ron, Jon Danielsson, Chikako Baba, Udaibir S Das, Heedon Kang, Miguel A Segoviano Basurto. 2018. "Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks." IMF Working Paper 18/197, International Monetary Fund, Washington, D.C.
- Fabio Cortes, Peter Lindner, Sheheryar Malik, and Miguel A. Segoviano. 2018. "A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)" IMF Working Paper No. 18/14, International Monetary Fund, Washington, D.C.
- Rama Cont; Artur Kotlicki; Laura Valderrama. 2020. "Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity" IMF Working Paper No. 20/82, International Monetary Fund, Washington, D.C.
- Laura Valderrama. 2015. "Macroprudential regulation under repo funding" Journal of Financial Intermediation 24, Issue 2, pp. 178-199
- Krznar, Ivo, Troy D Matheson. 2017. "Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects." IMF Working Paper 17/149, International Monetary Fund, Washington, D.C.
- Raphael A. Espinoza, Miguel A. Segoviano, and Ji Yan. 2020. "Systemic Risk Modeling: How Theory Can Meet Statistics" IMF Working Paper No. 20/54, International Monetary Fund, Washington, D.C.
- Mario Catalan, Alexander W. Hoffmaister. 2020. "When Banks Punch Back: Macrofinancial Feedback Loops in Stress Tests" IMF Working Paper No. 20/72, International Monetary Fund, Washington, D.C.
Liquidity Stress Testing and Joint Solvency–Liquidity Analysis
- Andreas A Jobst, Li Lian Ong, Christian Schmieder. 2017. "Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems" IMF Working Paper 17/102, International Monetary Fund, Washington, DC.
- Schmitz, Stefan, Michael Sigmund, and Laura Valderrama. 2017, "Bank Solvency and Funding Cost: New Data and New Results." IMF Working Paper 17/116, International Monetary Fund, Washington, DC.
- Barnhill, Theodore M, and Liliana B Schumacher. 2011. “Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information.” IMF Working Paper 11/263, International Monetary Fund, Washington, DC.
- Aymanns, Christoph; Carlos Caceres, Christina Daniel, Liliana B Schumacher. 2016. "Bank Solvency and Funding Cost." IMF Working Paper 16/64, International Monetary Fund, Washington D.C.
- Han, Fei, Leika Mindaugas. 2019. "Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models." IMF Working Paper 19/250, International Monetary Fund, Washington, D.C.
- Rama Cont, Artur Kotlicki, Laura Valderrama. 2020. "Liquidity at risk: Joint stress testing of solvency and liquidity" Journal of Banking and Finance 118
- Bouveret, Antoine. 2017. "Liquidity Stress Tests for Investment Funds: A Practical Guide." IMF Working Paper 17/226, International Monetary Fund, Washington, D.C.
Interconnectedness, Contagion, and Network Analysis
- Bricco, Jana, and TengTeng Xu. 2019. “Interconnectedness and Contagion Analysis: A Practical Framework.” IMF Working Paper 19/220, International Monetary Fund, Washington, DC.
- Espinosa-Vega, Marco A, and Juan Solé. 2010. “Cross-Border Financial Surveillance: A Network Perspective.” IMF Working Paper 10/105, International Monetary Fund, Washington, DC.
- Malik, Sheheryar, and TengTeng Xu. 2017. “Interconnectedness of Global Systemically-Important Banks and Insurers.” IMF Working Paper 17/210, International Monetary Fund, Washington, DC.
- Galina Hale, Tümer Kapan, Camelia Minoiu. 2016. "Crisis Transmission in the Global Banking Network." IMF Working Paper 16/19, International Monetary Fund, Washington, DC.
- Covi, Giovanni; Gorpe, Mehmet Ziya; Kok, Christoffer, 2019, "CoMap: Mapping Contagion in the Euro Area Banking Sector." IMF Working Paper 19/102, International Monetary Fund, Washington, DC.
- Hesse, Heiko; Salman, Ferhan; Schmieder, Christian, 2014, "How to Capture Macro-Financial Spillover Effects in Stress Tests?" Working Paper 14/103, International Monetary Fund, Washington, D.C.
- Gross, M., Elhorst, J.P., and Tereanu, E. 2020. "Cross-Sectional Dependence and Spillovers in Space and Time: Where Spatial Econometrics and Global VAR Model Meet" Journal of Economic Surveys.
- Gross, M. 2018. "Estimating GVAR weight matrices" Spatial Economic Analysis.
Market-Based and Top-Down Systemic Risk Measures
- Jobst, Andreas A, Dale F Gray. 2013. "Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk." IMF Working Paper 13/54, International Monetary Fund, Washington, D.C.
- Chan-Lau, A Jorge. 2013. "Market-Based Structural Top-Down Stress Tests of the Banking System." IMF Working Paper No. 13/88, International Monetary Fund, Washington, D.C.
- Segoviano, Miguel. 2006 “Portfolio Credit Risk and Macroeconomic Shocks: Application to Stress Testing Under Data-Restricted Environment.” IMF Working Paper 06/283, International Monetary Fund, Washington, D.C.
- Gray, Dale, Gross, M., Paredes, J., and Sydow, M. 2013. "Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR." IMF Working Paper 13/2018, International Monetary Fund, Washington, D.C.
Corporate Sector, Credit Risk, and Borrower-Based Measures
- Chow, Julian. 2015. “Stress Testing Corporate Balance Sheets in Emerging Economies.” IMF Working Paper 15/216, International Monetary Fund, Washington, DC.
- Thierry Tressel, Luiza Antoun de Almeida. 2020. "Non-Financial Corporate Debt in Advanced Economies" IMF Working Paper No. 20/120, International Monetary Fund, Washington, D.C.
- Nier, Erlend, Radu Popa, Maral Shamloo, and Liviu Voinea. 2019, “Debt Service and Default: Calibrating Macroprudential Policy Using Micro Data.” IMF Working Paper 19/182, International Monetary Fund, Washington, DC.
- Gross, M., Jurca, P., Klacso, J., Tereanu, E., and Forletta, M. (2020), “The Effectiveness of Borrower-Based Macroprudential Measures: A Quantitative Analysis for Slovakia,” IMF Working Paper No. 20/134.
- Lucyna Gornicka; Laura Valderrama (2020) Stress Testing and Calibration of Macroprudential Policy Tools
- Francisco Vazquez. 2021. "Credit Reversals" IMF Working Paper No. 2021/103, International Monetary Fund, Washington, D.C.
Insurance, Investment Funds, and Nonbank Intermediaries
- Jobst, Andreas A, Nobuyasu Sugimoto, Timo Broszeit. 2014. "Macroprudential Solvency Stress Testing of the Insurance Sector." IMF Working Paper No. 14/133, International Monetary Fund, Washington, D.C.
- Bouveret, Antoine. 2017. "Liquidity Stress Tests for Investment Funds: A Practical Guide." IMF Working Paper 17/226, International Monetary Fund, Washington, D.C.
Concentration Risk, Profitability, and Systemic Monitoring Tools
- Grippa, Pierpaolo, Lucyna Gornicka (2016) “Measuring Concentration Risk - A Partial Portfolio Approach”. IMF Working Paper 16/58, International Monetary Fund, Washington, DC.
- Xu, TengTeng, Kun Hu, Udaibir S Das. 2019. "Bank Profitability and Financial Stability" IMF Working Paper 19/5, International Monetary Fund, Washington D.C.
- Ong, Li Lian, Ceyla Pazarbasioglu. 2013. “Credibility and Crisis Stress Testing” IMF Working Paper 13/178, International Monetary Fund, Washington, DC.
- Blancher, R Nicolas; Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama. 2013. "Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide." Working Paper 13/168, International Monetary Fund, Washington, D.C.
- López-Espinosa, Germán; Antonio Rubia, Laura Valderrama, Antonio Moreno. 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry." Working Paper 12/152, International Monetary Fund, Washington, D.C.
- Carlos Caceres, Vincenzo Guzzo and Miguel A. Segoviano. 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?" IMF Working Paper No. 10/120, International Monetary Fund, Washington, D.C.
- Dimitri G. Demekas and Mario Catalan. 2015. Challenges for systemic risk assessment in low-income countries
- German Lopez-Espinosa, Antonio Moreno, Antonio Rubia, Laura Valderrama. 2015. "Systemic risk and asymmetric responses in the financial industry" Journal of Banking and Finance 58, pp. 471-485
- German Lopez-Espinosa, Antonio Rubia, Laura Valderrama, Miguel Anton. 2013. "Good for one, bad for all: Determinants of individual versus systemic risk" Journal of Financial Stability 9, pp. 287-299
- German Lopez-Espinosa, Antonio Moreno, Antonio Rubia, Laura Valderrama. 2012. "Short-term wholesale funding and systemic risk: A global CoVaR approach" Journal of Banking and Finance 36, Issue 12, pp. 3150-3162
- Galen Sher, Heedon Kang. 2020. "Cyber Risk Surveillance: A Case Study of Singapore" IMF Working Paper No. 20/28, International Monetary Fund, Washington, D.C.
- Fabiano T. Lipinsky and Mirela S. Miescu. 2020. "Capital Gaps, Risk Dynamics, and the Macroeconomy" IMF Working Paper No. 20/209, International Monetary Fund, Washington, D.C.
Content in this bundle
References
- Financial Sector Assessment Program (FSAP) - Main Page
- The Financial Sector Assessment Program (FSAP) - A Factsheet
- FSAP Policy Papers
- Cihak, Martin. 2007. "Introduction to Applied Stress Testing." IMF Working Paper 07/59, International Monetary Fund, Washington, DC.
- Adrian, Tobias, James Morsink, Liliana B Schumacher. 2020. "Stress Testing at the IMF." IMF Departmental Paper 20/04, International Monetary Fund, Washington, D.C.
- Chan-Lau Jorge A. 2017. "Lasso Regressions and Forecasting Models in Applied Stress Testing." IMF Working Paper 17/108, International Monetary Fund, Washington, D.C.
- Hardy, C Daniel, Christian Schmieder. 2013. "Rules of Thumb for Bank Solvency Stress Testing." IMF Working Paper No. 13/232, International Monetary Fund, Washington, D.C.
- Ong, L Li, Rodolfo Maino, Nombulelo Braiton. 2010. "Into the Great Unknown : Stress Testing with Weak Data." IMF Working Paper 10/282, International Monetary Fund, Washington, D.C.
- Schmieder, Christian ; Maher Hasan, Claus Puhr. 2011. "Next Generation Balance Sheet Stress Testing." IMF Working Paper No. 11/83, International Monetary Fund, Washington, D.C.
- Swinburne, Mark ; Stolz, Stéphanie Marie ; Moretti, Marina, "Stress Testing at the IMF", Working Paper No. 08/206
- Jobst, Andreas A, Li L Ong, Christian Schmieder. 2013. "A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs." IMF Working Paper No. 13/68, International Monetary Fund, Washington, D.C.
- Alla, Zineddine, Raphael A Espinoza , Qiaoluan H Li , Migue A Segoviano Basurto. 2018. :Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses." IMF Working Paper 18/49, International Monetary Fund, Washington, D.C.
- Anderson, Ron, Jon Danielsson , Chikako Baba , Udaibir S Das , Heedon Kang, Miguel A Segoviano Basurto. 2018. "Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks." IMF Working Paper 18/197, International Monetary Fund, Washington, D.C.
- Fabio Cortes, Peter Lindner, Sheheryar Malik, and Miguel A. Segoviano. 2018. "A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)" IMF Working Paper No. 18/14, International Monetary Fund, Washington, D.C.
- Rama Cont ; Artur Kotlicki ; Laura Valderrama. 2020. "Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity" IMF Working Paper No. 20/82, International Monetary Fund, Washington, D.C.
- Andreas A Jobst, Li Lian Ong, Christian Schmieder. 2017. "Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems" IMF Working Paper 17/102, International Monetary Fund, Washington, DC.
- Andreas A. Jobs, Hiroko Oura. 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing." IMF Departmental Paper 19/266, International Monetary Fund, Washington, D.C.
- Gross, M., Laliotis, D., Leika, M., and Lukyantsau, P. 2020. “Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective” IMF Working Paper No. 20/111, International Monetary Fund, Washington, D.C.
- Grippa, Pierpaolo, Lucyna Gornicka (2016) “Measuring Concentration Risk - A Partial Portfolio Approach”. IMF Working Paper 16/58, International Monetary Fund, Washington, DC.
- Andreas A. Jobst, Juan Solé. 2020. "The Nature of Islamic Banking and Solvency Stress Testing―Conceptual Considerations" IMF Working Paper No. 20/156, International Monetary Fund, Washington, D.C.
- Schmitz, Stefan, Michael Sigmund, and Laura Valderrama. 2017, Bank Solvency and Funding Cost: New Data and New Results.” IMF Working Paper 17/116, International Monetary Fund, Washington, DC.
- Barnhill, Theodore M, and Liliana B Schumacher. 2011. “Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information.” IMF Working Paper 11/263, International Monetary Fund, Washington, DC.
- Aymanns, Christoph ; Carlos Caceres, Christina Daniel, Liliana B Schumacher. 2016. "Bank Solvency and Funding Cost." IMF Working Paper 16/64, International Monetary Fund, Washington D.C.
- Han, Fei, Leika Mindaugas. 2019. "Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models." IMF Working Paper 19/250, International Monetary Fund, Washington, D.C.
- Krznar, Ivo, Troy D Matheson. 2017. "Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects." IMF Working Paper 17/149, International Monetary Fund, Washington, D.C.
- Raphael A. Espinoza, Miguel A. Segoviano, and Ji Yan. 2020. "Systemic Risk Modeling: How Theory Can Meet Statistics" IMF Working Paper No. 20/54, International Monetary Fund, Washington, D.C.
- Mario Catalan, Alexander W. Hoffmaister. 2020. "When Banks Punch Back: Macrofinancial Feedback Loops in Stress Tests" IMF Working Paper No. 20/72, International Monetary Fund, Washington, D.C.
- Nier, Erlend, Radu Popa, Maral Shamloo, and Liviu Voinea. 2019, “Debt Service and Default: Calibrating Macroprudential Policy Using Micro Data.” IMF Working Paper 19/182, International Monetary Fund, Washington, DC
- Gross, M., Jurca, P., Klacso, J., Tereanu, E., and Forletta, M. (2020), “The Effectiveness of Borrower-Based Macroprudential Measures: A Quantitative Analysis for Slovakia,” IMF Working Paper No. 20/134.
- Lucyna Gornicka ; Laura Valderrama (2020) Stress Testing and Calibration of Macroprudential Policy Tools
- Jobst, Andreas A, Nobuyasu Sugimoto, Timo Broszeit. 2014. "Macroprudential Solvency Stress Testing of the Insurance Sector." IMF Working Paper No. 14/133, International Monetary Fund, Washington, D.C.
- Bouveret, Antoine. 2017. "Liquidity Stress Tests for Investment Funds: A Practical Guide." IMF Working Paper 17/226, International Monetary Fund, Washington, D.C.
- Bricco, Jana, and TengTeng Xu. 2019. “Interconnectedness and Contagion Analysis: A Practical Framework.” IMF Working Paper 19/220, International Monetary Fund, Washington, DC.
- Espinosa-Vega, Marco A, and Juan Solé. 2010. “Cross-Border Financial Surveillance: A Network Perspective.” IMF Working Paper 10/105, International Monetary Fund, Washington, DC.
- Malik, Sheheryar, and TengTeng Xu. 2017. “Interconnectedness of Global Systemically-Important Banks and Insurers.” IMF Working Paper 17/210, International Monetary Fund, Washington, DC
- Galina Hale , Tümer Kapan , Camelia Minoiu. 2016. "Crisis Transmission in the Global Banking Network." IMF Working Paper 16/19, International Monetary Fund, Washington, DC.
- Covi, Giovanni; Gorpe, Mehmet Ziya; Kok, Christoffer, 2019, "CoMap: Mapping Contagion in the Euro Area Banking Sector." IMF Working Paper 19/102, International Monetary Fund, Washington, DC.
- Hesse, Heiko ; Salman, Ferhan ; Schmieder, Christian, 2014, How to Capture Macro-Financial Spillover Effects in Stress Tests? Working Paper 14/103, International Monetary Fund, Washington, D.C.
- Jobst, Andreas A, Dale F Gray. 2013. " Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk." IMF Working Paper 13/54, International Monetary Fund, Washington, D.C.
- Chan-Lau, A Jorge. 2013. "Market-Based Structural Top-Down Stress Tests of the Banking System." IMF Working Paper No. 13/88, International Monetary Fund, Washington, D.C.
- Segoviano, Miguel. 2006 “Portfolio Credit Risk and Macroeconomic Shocks: Application to Stress Testing Under Data-Restricted Environment.” IMF Working Paper 06/283, International Monetary Fund, Washington, D.C.
- Gray, Dale, Gross, M., Paredes, J., and Sydow, M. 2013. "Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR." IMF Working Paper 13/2018, International Monetary Fund, Washington, D.C.
- Chow, Julian. 2015. “Stress Testing Corporate Balance Sheets in Emerging Economies.” IMF Working Paper 15/216, International Monetary Fund, Washington, DC.
- Thierry Tressel, Luiza Antoun de Almeida. 2020. "Non-Financial Corporate Debt in Advanced Economies" IMF Working Paper No. 20/120, International Monetary Fund, Washington, D.C.
- Segoviano, Miguel, and Charles Goodhart. 2009. “Banking Stability Measures.” IMF Working Paper , International Monetary Fund, Washington, DC.
- Xu, TengTeng, Kun Hu, Udaibir S Das. 2019. "Bank Profitability and Financial Stability" IMF Working Paper 19/5, International Monetary Fund, Washington D.C.
- Ong, Li Lian, Ceyla Pazarbasioglu. 2013. “Credibility and Crisis Stress Testing” IMF Working Paper 13/178, International Monetary Fund, Washington, DC
- Blancher, R Nicolas ; Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama. 2013. "Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide." Working Paper 13/168, International Monetary Fund, Washington, D.C.
- López-Espinosa, Germán ; Antonio Rubia, Laura Valderrama, Antonio Moreno. 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry." Working Paper 12/152, International Monetary Fund, Washington, D.C.
- Carlos Caceres, Vincenzo Guzzo and Miguel A. Segoviano. 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?" IMF Working Paper No. 10/120, International Monetary Fund, Washington, D.C.
- Francisco Vazquez. 2021. "Credit Reversals" IMF Working Paper No. 2021/103, International Monetary Fund, Washington, D.C.
- Galen Sher, Heedon Kang. 2020. "Cyber Risk Surveillance: A Case Study of Singapore" IMF Working Paper No. 20/28, International Monetary Fund, Washington, D.C.
- Fabian T. Lipinsky, Mirela S. Miescu. 2020. "Capital Gaps, Risk Dynamics, and the Macroeconomy" IMF Working Paper No. 20/209, International Monetary Fund, Washington, D.C.