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dc.contributor.authorDungey, Mardi
dc.contributor.authorLuciani, Matteo
dc.contributor.authorVeredas, David
dc.date.accessioned2018-10-08T14:10:41Z
dc.date.available2018-10-08T14:10:41Z
dc.date.issued2018
dc.identifier.issn0264-9993
dc.identifier.doi10.1016/j.econmod.2017.10.004
dc.identifier.urihttp://hdl.handle.net/20.500.12127/6025
dc.description.abstractWe 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.
dc.language.isoen
dc.publisherElsevier
dc.subjectHistorical Decomposition
dc.subjectDY Spillover
dc.subjectGranger Causality
dc.subjectNetworks
dc.titleSystemic risk in the US: Interconnectedness as a circuit breaker
dc.identifier.journalEconomic Modelling
dc.source.volume71
dc.source.issueApril
dc.source.beginpage305
dc.source.endpage315
dc.contributor.departmentSchool of Economics and Finance, University of Tasmania, Australia
dc.contributor.departmentCAMA ANU, Australia
dc.contributor.departmentBoard of Governors of the Federal Reserve System, Washington D.C., USA
dc.contributor.departmentGhent University
vlerick.typearticleArticle in academic journal
vlerick.vlerickdepartmentAF
dc.identifier.vperid181874


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