Loading...
Systemic risk in the US: Interconnectedness as a circuit breaker
Dungey, Mardi Luciani, Matteo Veredas, David
Dungey, Mardi
Luciani, Matteo
Veredas, David
Citations
Altmetric:
Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2018
Journal
Economic Modelling
Book
Publication Volume
71
Publication Issue
April
Publication Begin page
305
Publication End page
315
Publication Number of pages
Collections
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.
Research Projects
Organizational Units
Journal Issue
Keywords
Historical Decomposition, DY Spillover, Granger Causality, Networks