【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.docx

INTERNATIONA1MONETARYFUNDPredictingFinancia1Crises:TheRo1eofAssetPricesTristanHennig,P1amenIossifov,andRichardVargheseWP/23/157IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2023AUGWP/23/157©2023Internationa1MonetaryFundIMFWorkingPaperStrategy,Po1icy,andReviewDepartmentPredictingFinancia1Crises:TheRo1eofAssetPrices*PreparedbyTristanHennig,P1amenIossifov,andRichardVargheseAuthorizedfordistributionbyMartinCihkAugust2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheathor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Weexp1oretheear1ywarningpropertiesofacompositeindicatorwhichsummarizessigna1sfromarangeofassetpricegrowthandassetpricevo1ati1ityindicatorstocapturemispricingofriskinassetmarkets.Usingaquarter1ypane1of108advancedandemergingeconomiesover1995-2017,weshowthatthecombinationofrapidassetpricegrowthand1owassetpricevo1ati1ityisagoodpredictoroffuturefinancia1crises.E1evated1eve1sofourindicatorsignificant1yincreasetheprobabi1ityofenteringacrisiswithinthenextthreeyearsre1ativetonorma1timeswhentheindicatorisnote1evated.Theindicatoroutperformscredit-basedear1ywarningmetrics,aresu1trobusttopredictionhorizons,methodo1ogica1choices,andincomegroups.Ourresu1tsareconsistentwiththeideathatmeasuresbasedonassetpricescanoffercritica1informationaboutsystemicrisk1eve1stopo1icymakers.JE1C1assificationNumbers:G01;G18;E58Keywords:Ear1yWarningIndicator;ROC;Financia1CrisesAuthor'sE-Mai1Address:THenninq2imf.ora;PIOSSifoVimf.orq;RVaroheSeimf.orqTheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.Theviewsexpressedinthispaperarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WethankBrunoA1buquerque1Pame1aCardozo,MartinCihak,EhsanEbrahimy1Se1imE1ekdag1DavidHofman,JauniusKarme1avicius,ThorvardurO1afsson1DamienPuy1FabianVa1encia,JeromeVandenbussche,andseminarparticipantsattheIMFforhe1pfu1comments,andJos6Marz1ufforexce11entresearchassistance.WORKINGPAPERSPredictingFinancia1Crises:TheRo1eofAssetPricesPreparedbyTristanHennig,P1amenIossifov,andRichardVarghesePredictingFinancia1Crises:TheRo1eofAssetPricesTheviewsexpressedinthispaperarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WethankBrunoA1buquerquezPame1aCardozo,MartinCihakzEhsanEbrahimyzSe1imE1ekdag,DavidHofman,JauniusKarme1avidius,ThorvardurO1afsson,DamienPuyzFabianVa1encia,JeromeVandenbusschezandseminarparticipantsattheIMFforhe1pfu1comments,andJoseMarzIufforexce11entresearchassistance.tInternationa1MonetaryFund,thennig2imf.orgtInternationa1MonetaryFund,piossifovimf.orginternationa1MonetaryFund,rvarghese>imf.orgTristanHennigtP1amenIossifovRichardVarghese§Ju1y24,2023AbstractWeexp1oretheear1ywarningpropertiesOfacompositeindicatorthatsummarizessigna1sfromarangeofassetpricegrowthandvo1ati1ityindicatorstocapturethepotentia1formispricingofriskinassetmarkets.Usingaquarter1ypane1of108advancedandemergingeconomiesover1995-2017,weshowthatthecombinationofrapidassetpricegrowthand1owassetpricevo1ati1ityisasuperiorpredictoroffuturefinancia1crises.E1evated1eve1sofourindicatorsignificant1yincreasetheprobabi1ityofenteringacrisiswithinthenextthreeyearsre1ativetonorma1timeswhentheindicatorisnote1evated.Theindicatoroutperformscredit-basedear1ywarningmetrics,aresu1trobusttopredictionhorizons,methodo1ogica1choices,andincomegroups.Ourresu1tsareconsistentwiththeideathatmeasuresbasedonassetpricescanoffercritica1informationaboutsystemicrisk1eve1stopo1icymakers.Keywords:Ear1yWarningIndicator;ROC;Financia1Crises;JE1Codes:G01;G18;E58;1 IntroductionFinancia1criseshavesubstantia1andpersistentnegativeeffectsoneconomicactivity.Asignificantbodyofresearchhasestab1ishedtheir1argegrowthandwe1farecostsandhighfrequencyofoccurrence(C1aessenseta1.,2014;SufiandTay1orz2023).Fortunate1yforthediscip1ine,financia1crisesarenotentire1yunpredictab1eevents.SeeGreenwoodeta1.(2023)foradiscussiononpredictabi1ityoffinancia1crises.Rapidcreditexpansionand1everagefue1edassetpricegrowth,tendstosigna1futurecrises;anideathathasbeenknownforsometimeandproposedinoneformorotherforawhi1e(Kind1eberger,1978;Minskyz1986;Schumpeter,1939).Yet,giventheeverchangingnatureofthefinancia1systemandthepremiumeconomicpo1icymakersp1aceoncorrect1yidentifyingfinancia1crises,thesearchforbetterperformingear1ywarningindicatorswi111ike1yremainatime1essendeavor.Wecontributetothisendeavorbytakingac1oser1ookatthepredictivepowerofassetpricesintheirownright.Assetpricevariab1esareoftenmoreeasi1yobtainab1e,athigherfrequencies,andare1esspronetorep