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Building on De Nicolò and Lucchetta (2010) , this paper presents a novel modeling framework that delivers: (a) density forecasts of indicators of real activity and financial health, and implied indicators of systemic real risk and systemic financial risk; (b) reduced-form stress tests as historical simulations, and structural stress-tests as impulse responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. This framework is implementeddoi:10.2139/ssrn.1763852 fatcat:xealqfbnhbebzfhpmssmzddxuy