Download or read book Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis written by Mr.Plamen K Iossifov and published by International Monetary Fund. This book was released on 2021-02-05 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995–2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that risks were underestimated by stress indicators in the run-up to the 2008 global financial crisis. The policy implications of conflicting risk signals would depend on the phase of the credit cycle.