金融失衡、系统性压力和宏观审慎影响

IMF Working PaperMonetary and Capital Markets DepartmentFinancial Imbalances, Systemic Stress, and Macroprudential ImplicationsPrepared by Knarik Ayvazyan and Etienne B. YehoueAuthorized for distribution by Marina MorettiJuly 2025IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.ABSTRACT:The effectiveness of macroprudential policy framework depends to a large extent on how theprocess of monitoring and assessing systemic risks and the calibration of macroprudential policy tools areoperationalized in practice. This paper has two main contributions. First we propose an enhanced compositeindicator, the Systemic Vulnerabilities Index (SVI), which captures the buildup of systemic vulnerabilities. Theindex is built on an innovative approach that uses optimal aggregation of subindices, and without imposingexogenous constraints. Specifically, making use of the Principal Component Analysis (PCA) for a broad set ofrelevant input variables, we determine their relative importance in contributing to the buildup of systemicvulnerabilities. Subsequent use of Monte Carlo simulation techniques allows us to select the optimal SVI thatbest predicts future credit losses. The proposed SVI captures both time and sectoral dimensions of the buildupof risks. We provide evidence showing a superior performance of the SVI, compared to the traditional credit-to-GDP gap in documenting risk accumulation. We investigate the relationship between our SVI and financialcondition index and provide evidence of a negative correlation between the two, whereby a loosening offinancial conditions is associated with more accumulation of imbalances. Second, we provide a framework thatguides on how the SVI can be used for increasing Countercyclical Capital Buffer (CCyB) beyond its neutrallevel. Specifically, we propose a mapping that shows how the SVI can help determine the timing of setting aCCyB beyond the neutral rate as well as its magnitude.C61, E32, E37, E58Financial Imbalances, Credit-to-GDP Gap, Macroprudential PolicyKAyvazyan@imf.org, EYehoue@imf.org*Knarik Ayvazyan, International Monetary Fund; Etienne B. Yehoue, International Monetary Fund. The authors would like toparticularly thank Marina Moretti and Erlend Nier for their insightful comments and suggestions. They would also like to thank MarcoBarzanti, Naomi Griffin, Agnija Jekabsone, Jaunius Karmelavičius, Fabiana Melo, Önundur Páll Ragnarsson, André Reslow, AnnaShabunina, Manmohan Singh, Romain Veyrune, and Torsten Wezel for their valuable comments. *JEL Classification Numbers:Author’s E-Mail Address: Keywords: INTERNATIONAL MONETARY FUNDFinancial Imbalances, SystemicStress, and MacroprudentialImplicationsPrepared by Knarik Ayvazyan and Etienne B. Yehoue INTERNATIONAL MONETARY FUNDContentsGLOSSARY _______________________________________________________________________________________4I.INTRODUCTION _________________________________________________________________5II.LITERATURE REVIEW ____________________________________________________________7III.METHODOLOGY FOR CONSTRUCTING THE SVI _______________________________9A.Factors Composing the Systemic Vulnerability Index _____________________________9B.Gaussian Kernel Transformation of the Input Variables __________________________10C.Estimation of Time-varying Variance Covariance Matrix by EWMA ______________10D.Ranking of the Weights Using Principal Component Analysis (PCA) _____________11E.Estimation of the Shares for Each Subindex Using Monte Carlo Simulations_____11F.Systemic Vulnerabilities Composite Index (SVI) Aggregation ____________________11IV.ESTIMATION OF THE SVI FOR THE UNITED STATES AND ICELAND ________12A.Data _____________________________________________________________________________13B.Estimations ______________________________________________________________________16C.Systemic Vulnerabilities Index Performance Versus Other Indicators ____________21V.SVI AND FINANCIAL CONDITIONS ___________________________________________22VI.MACROPRUDENTIAL POLICY IMPLICATIONS________________________________24A.SVI and Macroprudential Policy: An Overview ___________________________________24B.CCyB Setting Using SVI __________________________________________________________25VII.CONCLUDING REMARKS______________________________________________________29ANNEX I. INPUT VARIABLES __________________________________________________________________30ANNEX II. LIST OF POSSIBLE US FINANCIAL STRESS EVENTS SINCE 2001__________________32ANNEX III. SVI PERFORMANCE VERSUS CREDIT-TO-GDP GAP______________________________33ANNEX IV. OUT-OF-SAMPLE PERFORMANCE OF THE SVI AND RISK MATERIALIZATION FORICELAND _______________________________________________________________________________________36ANNEX V. KERNEL DENSITY EST