Industrial Firms and Systemic Risk

37 Pages Posted: 13 Apr 2020

See all articles by Mardi H. Dungey

Mardi H. Dungey

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

Thomas Flavin

National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Finance and Accounting

Thomas O’Connor

National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Finance and Accounting

Michael Joseph Wosser

Central Bank of Ireland

Date Written: March 17, 2020

Abstract

We investigate the systemic importance of U.S. industrial firms and analyse the firm-specific characteristics that identify systemically important industrials. We compute two firm-specific measures of systemic risk for 367 non-financial corporations and confirm that industrial firms are both vulnerable to systemic shocks and contribute to system-wide risk. Systemic risk measures exhibit substantial variation across firms and over time. Debt and trade credit are related to both dimensions of systemic risk, while a range of other firm characteristics are associated with systemic risk in at least one direction. The differences between the dimensions of risk and their associated characteristics underline the importance of analysing both measures of risk. Finally, we report some striking differences vis-à-vis the extant literature on banks and non-bank financials.

Keywords: Systemic risk; MES; ΔCoVaR; industrial firms; financial crises

JEL Classification: G32

Suggested Citation

Dungey, Mardi H. and Flavin, Thomas J and O'Connor, Thomas and Wosser, Michael Joseph, Industrial Firms and Systemic Risk (March 17, 2020). Available at SSRN: https://ssrn.com/abstract=3555836 or http://dx.doi.org/10.2139/ssrn.3555836

Mardi H. Dungey

University of Tasmania (deceased)

Financial Research Network (FIRN) (deceased)

Thomas J Flavin

National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Finance and Accounting ( email )

County Kildare
Ireland
+353 1 708 3369 (Phone)
+353 1 708 3934 (Fax)

Thomas O'Connor (Contact Author)

National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Finance and Accounting ( email )

County Kildare
Ireland

Michael Joseph Wosser

Central Bank of Ireland ( email )

P.O. Box 559
Dame Street
Dublin, 2
Ireland

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