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    Systemic risk in the US: Interconnectedness as a circuit breaker

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    Publication type
    Journal article with impact factor
    Author
    Dungey, Mardi
    Luciani, Matteo
    Veredas, David
    Publication Year
    2018
    Journal
    Economic Modelling
    Publication Volume
    71
    Publication Issue
    April
    Publication Begin page
    305
    Publication End page
    315
    
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    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.
    Keyword
    Historical Decomposition, DY Spillover, Granger Causality, Networks
    DOI
    10.1016/j.econmod.2017.10.004
    URI
    http://hdl.handle.net/20.500.12127/6025
    ae974a485f413a2113503eed53cd6c53
    10.1016/j.econmod.2017.10.004
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