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Systemic risk in the US: interconnectedness as a circuit breaker

Citation

Dungey, M and Luciana, M and Veredas, D, Systemic risk in the US: interconnectedness as a circuit breaker, Economic Modelling, 71 pp. 305-315. ISSN 0264-9993 (2017) [Refereed Article]


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Copyright 2017 the Authors. Licensed under Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) https://creativecommons.org/licenses/by-nc-nd/4.0/

DOI: doi:10.1016/j.econmod.2017.10.004

Abstract

We measure systemic risk via the interconnections between the risks facing both financial and real economy firms. SIFIs are ranked by building on the Google PageRank algorithm for finding closest connections. For a panel of over 500 US firms over 20032011 we find evidence that intervention programs (such as TARP) act as circuit breakers in crisis propagation. The curve formed by the plot of firm average systemic risk against its variability clearly separates financial firms into three groups:

(i) the consistently systemically risky

(ii) those displaying the potential to become risky and

(iii) those of little concern for macro-prudential regulators.

Item Details

Item Type:Refereed Article
Keywords:historical decomposition, DY spillover, Granger causality, networks
Research Division:Economics
Research Group:Applied Economics
Research Field:Financial Economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Dungey, M (Professor Mardi Dungey)
ID Code:122642
Year Published:2017
Web of Science® Times Cited:1
Deposited By:Tasmanian School of Business and Economics
Deposited On:2017-11-21
Last Modified:2018-05-24
Downloads:9 View Download Statistics

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