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Surfing through the GFC: Systemic risk in Australia
Citation
Dungey, M and Matei, M and Luciani, M and Veredas, D, Surfing through the GFC: Systemic risk in Australia, The Economic Record, 93, (300) pp. 1-188. ISSN 0013-0249 (2017) [Refereed Article]
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DOI: doi:10.1111/1475-4932.12309
Abstract
We provide empirical evidence on the degree of systemic risk in Australia before, during and after the global financial crisis. We calculate a daily index of systemic risk from 2004 to 2013 in order to understand how real economy firms influence the outcomes for the rest of the economy. This is done via a mapping of the interconnectedness of the financial and non-financial sectors. The financial sector is in general home to the most consistently systemically risky firms in the economy. The materials sector occasionally becomes as systemically risky as the financial sector, reflecting the importance of understanding these linkages.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Research Division: | Economics |
| Research Group: | Applied economics |
| Research Field: | Financial economics |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Monetary policy |
| UTAS Author: | Dungey, M (Professor Mardi Dungey) |
| UTAS Author: | Matei, M (Dr Marius Matei) |
| ID Code: | 112213 |
| Year Published: | 2017 |
| Web of Science® Times Cited: | 12 |
| Deposited By: | TSBE |
| Deposited On: | 2016-10-31 |
| Last Modified: | 2023-03-24 |
| Downloads: | 0 |
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