Surfing through the GFC: Systemic Risk in Australia
Dungey, Mardi Matei, Marius Luciani, Matteo Veredas, David
Dungey, Mardi
Matei, Marius
Luciani, Matteo
Veredas, David
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2017-03
Journal
Economic Record
Book
Publication Volume
93
Publication Issue
300
Publication Begin page
1
Publication End page
19
Publication Number of pages
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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 nonāfinancial 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.
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Keywords
38 Economics, 3802 Econometrics