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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 Statement
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 2003–2011 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 |
| UTAS Author: | Dungey, M (Professor Mardi Dungey) |
| ID Code: | 122642 |
| Year Published: | 2017 |
| Web of Science® Times Cited: | 10 |
| Deposited By: | TSBE |
| Deposited On: | 2017-11-21 |
| Last Modified: | 2018-05-24 |
| Downloads: | 82 View Download Statistics |
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