Systemic Risks and the Macroeconomy

Gianni De Nicolò, Marcella Lucchetta

Chapter in NBER book Quantifying Systemic Risk (2013), Joseph G. Haubrich and Andrew W. Lo, editors (p. 113 - 148)
Conference held November 6, 2009
Published in January 2013 by University of Chicago Press
© 2013 by the National Bureau of Economic Research

This chapter presents a modeling framework that forecasts both indicators of systemic real risk and systemic financial risk, as well as stress tests of these indicators as impulse responses to structurally identifiable shocks. The framework is implemented using a set of quarterly time series of financial and real activity for the G-7 economies for the 1980Q1 to 2009Q3 period. Two main results are obtained. First, there is evidence of out-of-sample forecasting power of the model for tail risk realizations of real activity for several countries, which suggests the usefulness of the model as a risk monitoring tool. Second, in all countries, aggregate demand shocks are the main drivers of the real cycle, while bank credit demand shocks are the main drivers of the bank lending cycle--a result consistent with the hypothesis that shocks to the real economy are the main drivers of both real and financial risks.

download in pdf format
   (5242 K)

email paper

This paper is available as PDF (5242 K) or via email.

This paper was revised on August 29, 2014

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.7208/chicago/9780226921969.003.0005

This chapter first appeared as NBER working paper w16998, Systemic Risks and the Macroeconomy, Gianni De Nicolò, Marcella Lucchetta
Commentary on this chapter: Comment, Hao Zhou
Users who downloaded this chapter also downloaded these:
Haubrich and Lo Introduction to "Quantifying Systemic Risk"
Danielsson, Shin, and Zigrand Endogenous and Systemic Risk
Hu Systemic Risk and Financial Innovation: Toward a "Unified" Approach
Acharya, Pedersen, Philippon, and Richardson How to Calculate Systemic Risk Surcharges
Kapadia, Drehmann, Elliott, and Sterne Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks
NBER Videos

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us