Working Paper: NBER ID: w18531
Authors: Eugenio Cerutti; Stijn Claessens; Patrick McGuire
Abstract: The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data that capture the international dimensions of finance. While currently available data can be used more effectively, supervisors and other agencies need more and better data to construct even rudimentary measures of risks in the international financial system. Similarly, market participants need better information on aggregate positions and linkages to appropriately monitor and price risks. Ongoing initiatives that will help in closing data gaps include the G20 Data Gaps Initiative, which recommends the collection of consistent bank-level data for joint analyses and enhancements to existing sets of aggregate statistics, and the enhancement to the BIS international banking statistics.
Keywords: Systemic Risk; Global Banking; Data Gaps; Financial Stability
JEL Codes: F21; F34; G15; G18; Y1
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Shocks originating in one country (F41) | propagate to other markets (G10) |
| Improvements in data collection (C80) | enhance the measurement of systemic risks (E44) |
| Lack of consistent, granular data (C81) | hamper effective systemic risk analysis (G28) |
| Existing aggregate data (Y10) | mask vulnerabilities (K24) |
| Complexity of international banking structures (F65) | complicate assessment of risks (D81) |