Systemic Risk and the Macroeconomy: An Empirical Evaluation
63 Pages Posted: 26 Oct 2012 Last revised: 10 Feb 2015
There are 2 versions of this paper
Systemic Risk and the Macroeconomy: An Empirical Evaluation
Systemic Risk and the Macroeconomy: An Empirical Evaluation
Date Written: January 1, 2015
Abstract
This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and prove their consistency in a factor model setting. Empirically, systemic risk indexes provide significant predictive information out-of-sample for the lower tail of future macroeconomic shocks.
Keywords: systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Tracking Variation in Systemic Risk at US Banks During 1974-2013
By Armen Hovakimian, Edward J. Kane, ...
-
Tracking Variation in Systemic Risk at Us Banks During 1974-2013
By Armen Hovakimian, Edward J. Kane, ...
-
Has Financial Innovation Made the World Riskier? CDS, Regulatory Arbitrage and Systemic Risk
-
The Evolution and Impact of Bank Regulations
By James R. Barth, Gerard Caprio, ...
-
Lending Concentration, Bank Performance and Systemic Risk: Exploring Cross-Country Variation
By Thorsten Beck and Olivier De Jonghe
-
Shadow Banking and Financial Stability: European Money Market Funds in the Global Financial Crisis
-
Shadow Banking and Systemic Risk in Europe and China
By Sara Hsu, Jianjun Li, ...
-
Systemic Risk, Bank Capital, and Deposit Insurance Around the World
By Denefa Bostandzic, Matthias Pelster, ...