Surfing Through the GFC: Systemic Risk in Australia
25 Pages Posted: 11 Jun 2015
Date Written: May 1, 2015
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
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