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Systemic risk in the US : interconnectedness as a circuit breaker

(2018) ECONOMIC MODELLING. 71. p.305-315
Author
Organization
Abstract
We measure systemic risk via the interconnections between the risks facing both financial and real economy firms. SIFIs are ranked by building on the Google PageRank algorithm for finding closest connections. For a panel of over 500 US firms over 2003-2011 we find evidence that intervention programs (such as TARP) act as circuit breakers in crisis propagation. The curve formed by the plot of firm average systemic risk against its variability clearly separates financial firms into three groups: (i) the consistently systemically risky (ii) those displaying the potential to become risky and (iii) those of little concern for macro-prudential regulators.
Keywords
Historical decomposition, DY spillover, Granger causality, Networks, FINANCIAL NETWORKS, MARKET, VOLATILITY, STOCK, TIME

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Citation

Please use this url to cite or link to this publication:

MLA
Dungey, Mardi, Matteo Luciani, and David Veredas. “Systemic Risk in the US : Interconnectedness as a Circuit Breaker.” ECONOMIC MODELLING 71 (2018): 305–315. Print.
APA
Dungey, M., Luciani, M., & Veredas, D. (2018). Systemic risk in the US : interconnectedness as a circuit breaker. ECONOMIC MODELLING, 71, 305–315.
Chicago author-date
Dungey, Mardi, Matteo Luciani, and David Veredas. 2018. “Systemic Risk in the US : Interconnectedness as a Circuit Breaker.” Economic Modelling 71: 305–315.
Chicago author-date (all authors)
Dungey, Mardi, Matteo Luciani, and David Veredas. 2018. “Systemic Risk in the US : Interconnectedness as a Circuit Breaker.” Economic Modelling 71: 305–315.
Vancouver
1.
Dungey M, Luciani M, Veredas D. Systemic risk in the US : interconnectedness as a circuit breaker. ECONOMIC MODELLING. 2018;71:305–15.
IEEE
[1]
M. Dungey, M. Luciani, and D. Veredas, “Systemic risk in the US : interconnectedness as a circuit breaker,” ECONOMIC MODELLING, vol. 71, pp. 305–315, 2018.
@article{8625519,
  abstract     = {We measure systemic risk via the interconnections between the risks facing both financial and real economy firms. SIFIs are ranked by building on the Google PageRank algorithm for finding closest connections. For a panel of over 500 US firms over 2003-2011 we find evidence that intervention programs (such as TARP) act as circuit breakers in crisis propagation. The curve formed by the plot of firm average systemic risk against its variability clearly separates financial firms into three groups: (i) the consistently systemically risky (ii) those displaying the potential to become risky and (iii) those of little concern for macro-prudential regulators.},
  author       = {Dungey, Mardi and Luciani, Matteo and Veredas, David},
  issn         = {0264-9993},
  journal      = {ECONOMIC MODELLING},
  keywords     = {Historical decomposition,DY spillover,Granger causality,Networks,FINANCIAL NETWORKS,MARKET,VOLATILITY,STOCK,TIME},
  language     = {eng},
  pages        = {305--315},
  title        = {Systemic risk in the US : interconnectedness as a circuit breaker},
  url          = {http://dx.doi.org/10.1016/j.econmod.2017.10.004},
  volume       = {71},
  year         = {2018},
}

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