Challenges in Identifying and Measuring Systemic Risk

22 Pages Posted: 9 Oct 2012 Last revised: 1 Apr 2015

Lars Peter Hansen

University of Chicago - Department of Economics; National Bureau of Economic Research (NBER)

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Date Written: February 14, 2013

Abstract

Sparked by the recent “great recession” and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy.

Keywords: systemic risk, financial markets, macroeconomy

Suggested Citation

Hansen, Lars Peter, Challenges in Identifying and Measuring Systemic Risk (February 14, 2013). Becker Friedman Institute for Research in Economics Working Paper No. 2012-012. Available at SSRN: https://ssrn.com/abstract=2158946 or http://dx.doi.org/10.2139/ssrn.2158946

Lars Peter Hansen (Contact Author)

National Bureau of Economic Research (NBER)

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University of Chicago - Department of Economics ( email )

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