【行业研报】IMF-预测金融危机：资产价格的作用（英）-2023.8_市场营销策划_重点报告2023.docxVIP

Predicting Financial Crises: The Role of Asset Prices Tristan Hennig, Plamen Iossifov, and Richard Varghese WP/23/157 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2023 AUG ? 2023 International Monetary Fund WP/23/157 IMF Working Paper Strategy, Policy, and Review Department Predicting Financial Crises: The Role of Asset Prices* Prepared by Tristan Hennig, Plamen Iossifov, and Richard Varghese Authorized for distribution by Martin ?ihák August 2023 IMF Working Papers IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: We explore the early warning properties of a composite indicator which summarizes signals from a range of asset price growth and asset price volatility indicators to capture mispricing of risk in asset markets. Using a quarterly panel of 108 advanced and emerging economies over 1995-2017, we show that the combination of rapid asset price growth and low asset price volatility is a good predictor of future financial crises. Elevated levels of our indicator significantly increase the probability of entering a crisis within the next three years relative to normal times when the indicator is not elevated. The indicator outperforms credit-based early warning metrics, a result robust to prediction horizons, methodological choices, and income groups. Our results are consistent with the idea that measures based on asset prices can offer critical information about systemic risk levels to policymakers.. JEL Classification Numbers: G01; G18; E58 Keywords: Early