Surfing Through the GFC: Systemic Risk in Australia

19 Pages Posted: 9 Mar 2017

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

David Veredas

Vlerick Business School

Multiple version iconThere are 2 versions of this paper

Date Written: March 2017

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 home to the most consistently systemically risky firms in the economy. The materials sector occasionally becomes as systemically risky as the financial sector, reflecting the importance of understanding these linkages.

Suggested Citation

Dungey, Mardi H. and Luciani, Matteo and Veredas, David, Surfing Through the GFC: Systemic Risk in Australia (March 2017). Economic Record, Vol. 93, Issue 300, pp. 1-19, 2017, Available at SSRN: https://ssrn.com/abstract=2929323 or http://dx.doi.org/10.1111/1475-4932.12309

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

David Veredas

Vlerick Business School ( email )

Library
REEP 1
Gent, BE-9000
Belgium

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