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Surfing through the GFC: Systemic risk in Australia
journal contribution
posted on 2023-05-18, 23:19 authored by Dungey, M, Matei, M, Luciani, M, Veredas, DWe 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.
History
Publication title
The Economic RecordVolume
93Issue
300Pagination
1-19ISSN
0013-0249Department/School
TSBEPublisher
Economic Soc Of Australia Brown Prior Anderson Pty LtdPlace of publication
5 Evans St, Burwood Victoria, Australia, 3125Rights statement
© 2016 Economic Society of AustraliaRepository Status
- Restricted