Surfing Through the GFC: Systemic Risk in Australia

25 Pages Posted: 11 Jun 2015

See all articles by Mardi H. Dungey

Mardi H. Dungey

University of Tasmania (deceased); Financial Research Network (FIRN) (deceased)

Matteo Luciani

Board of Governors of the Federal Reserve System

Marius Matei

University of Tasmania

David Veredas

Vlerick Business School

Multiple version iconThere are 2 versions of this paper

Date Written: May 1, 2015

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 non-financial sectors. The financial sector is in general the home to the most consistently systemically risky firms in the economy. The mining sector becomes occasionally as systemically risky as the financial sector, reflecting the importance of understanding the interrelationships between the financial sector and the real economy in monitoring systemic risks.

Keywords: banking, insurance, systemic risk

JEL Classification: G22, G21, G01, G28

Suggested Citation

Dungey, Mardi H. and Luciani, Matteo and Matei, Marius and Veredas, David, Surfing Through the GFC: Systemic Risk in Australia (May 1, 2015). CIFR Paper No. WP061/2015, FIRN Research Paper No. 2617117, Available at SSRN: https://ssrn.com/abstract=2617117 or http://dx.doi.org/10.2139/ssrn.2617117

Mardi H. Dungey (Contact Author)

University of Tasmania (deceased)

Financial Research Network (FIRN) (deceased)

Matteo Luciani

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Marius Matei

University of Tasmania ( email )

French Street
Sandy Bay
Tasmania, 7250
Australia

David Veredas

Vlerick Business School ( email )

Library
REEP 1
Gent, BE-9000
Belgium

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