scholarly journals Systemic Risk Indicators Based on Nonlinear PolyModel

2018 ◽  
Vol 12 (1) ◽  
pp. 2 ◽  
Author(s):  
Xingxing Ye ◽  
Raphael Douady
Keyword(s):  
Financial Market ◽  
Systemic Risk ◽  
Financial Crises ◽  
Economic Benefit ◽  
Risk Indicators ◽  
Large Set ◽  
Theoretical Simulation ◽  
Nonlinear Factor Analysis ◽  
Nonlinear Approach ◽  
Covered Call

The global financial market has become extremely interconnected as it demonstrates strong nonlinear contagion in times of crisis. As a result, it is necessary to measure financial systemic risk in a comprehensive and nonlinear approach. By establishing a large set of risk factors as the main bones of the financial market network and applying nonlinear factor analysis in the form of so-called PolyModel, this paper proposes two systemic risk indicators that can prognosticate the advent and trace the development of financial crises. Through financial network analysis, theoretical simulation, empirical data analysis and final validation, we argue that the indicators suggested in this paper are proved to be very effective in forecasting and tracing the financial crises from 1998 to 2017. The economic benefit of the indicator is evidenced by the enhancement of a protective put/covered call strategy on major stock markets.

scholarly journals SYSTEMIC RISK IN TAIWAN STOCK MARKET

2012 ◽  
Vol 13 (5) ◽  
pp. 895-914 ◽  
Author(s):  
Her-Jiun Sheu ◽  
Chien-Ling Cheng
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Systemic Risk ◽  
Financial Crises ◽  
Idiosyncratic Risk ◽  
Risk Indicators ◽  
2008 Financial Crisis ◽  
Independent Variables ◽  
The Impact ◽  
Dot Com

Recent financial crises resulted from systemic risk caused by idiosyncratic distress. In this research, taking Taiwan stock market as an example and collecting data from 2000 to 2010 which contained the 2001 dot-com bubble and the 2007–2009 financial crisis, we adopt the CoVaR model to empirically explore the impact of sector-specific idiosyncratic risk on the systemic risk of the system and attempt to investigate the links between financial crises, systemic risk and the idiosyncratic risk of a sector-specific anomaly. The result showed sector-specific marginal CoVaR, i.e., ΔCoVaR, perfectly explained Taiwan stock market disturbance during the 2001 dot-com bubble and 2007–2008 financial crisis. Thus, by identifying the larger ΔCoVaR sectors, i.e. the systemic importance sectors, and by exploring the risk indicators, independent variables, of these systemic importance sectors, investors could practically employ the sector-specific ΔCoVaR measure to deepen the systemic risk scrutiny from a macro into a micro prudential perspective.

A Survey of Systemic Risk Indicators

2018 ◽  
Author(s):  
Antonio Di Cesare ◽  
Anna Rogantini Picco
Keyword(s):  
Systemic Risk ◽  
Risk Indicators

scholarly journals The multi-layer network nature of systemic risk and its implications for the costs of financial crises

2015 ◽  
Vol 20 ◽  
pp. 70-81 ◽  
Author(s):  
Sebastian Poledna ◽  
José Luis Molina-Borboa ◽  
Serafín Martínez-Jaramillo ◽  
Marco van der Leij ◽  
Stefan Thurner
Keyword(s):  
Systemic Risk ◽  
Financial Crises

scholarly journals Growth Dynamics: The Myth of Economic Recovery

2008 ◽  
Vol 98 (1) ◽  
pp. 439-457 ◽  
Author(s):  
Valerie Cerra ◽  
Sweta Chaman Saxena
Keyword(s):  
Civil Wars ◽  
Financial Crises ◽  
Emerging Market ◽  
Growth Dynamics ◽  
Economic Recovery ◽  
Large Set ◽  
Output Loss ◽  
Political Crises ◽  
Robust Evidence ◽  
Large Output

Using panel data for a large set of high-income, emerging market, developing, and transition countries, we find robust evidence that the large output loss from financial crises and some types of political crises is highly persistent. The results on financial crises are also highly robust to the assumption on exogeneity. Moreover, we find strong evidence of growth over optimism before financial crises. We also find a distinction between the output impact of civil wars versus other crises, in that there is a partial output rebound for civil wars but no significant rebound for financial crises or the other political crises. (JEL D72, D74, E32, E44, O17, O47)

scholarly journals Reallocation effects of recessions and financial crises: an industry-level analysis

2016 ◽  
Vol 16 (2) ◽  
Author(s):  
Fabrizio Coricelli ◽  
Aikaterini E. Karadimitropoulou ◽  
Miguel A. Leon-Ledesma
Keyword(s):  
Emerging Markets ◽  
Emerging Economies ◽  
Financial Crises ◽  
Value Added ◽  
Developed Countries ◽  
Large Set ◽  
Allocation Of Resources ◽  
Developed Economies ◽  
Manufacturing Sectors ◽  
Level Analysis

AbstractWe characterize the behavior of disaggregate manufacturing sectors for a large set of developed and emerging markets around recession dates. We uncover some relevant stylized facts. The dispersion in value added (VA) growth rates in developed economies is counter-cyclical, whereas for emerging countries it is pro-cyclical. Recoveries are more productivity-driven in developed countries as opposed to employment-driven for emerging markets. Around recession episodes sectoral-level misallocation of resources does not significantly change in developed economies, whereas it increases in emerging economies during financial crises. Therefore, there is no evidence that recessions improve the allocation of resources across industries.

scholarly journals Correlation, Contagion, and Asian Evidence

2006 ◽  
Vol 5 (2) ◽  
pp. 32-72 ◽  
Author(s):  
Mardi Dungey ◽  
Renée Fry ◽  
Vance L. Martin
Keyword(s):  
Emerging Markets ◽  
Financial Market ◽  
Financial Crises ◽  
Correlation Coefficients ◽  
Equity Markets ◽  
Empirical Literature ◽  
Bond Markets ◽  
Developed Markets ◽  
Market Contagion ◽  
Trade And Financial Linkages

This paper examines the empirical literature on financial market contagion in Asia during the 1997–98 financial crises with respect to existing tests of contagion. Empirical evidence shows that contagion affects both developed and emerging markets and does not seem to vary with the relative fundamental economic health or trade and financial linkages of the Asian economies. Contagion occurs across both asset types and geographical borders and tends to have larger effects in equity markets than in currency and bond markets. There is evidence to support the hypothesis that contagion is regional and transmitted through developed markets. A discussion of the behavior of correlation coefficients in the presence of contagion and financial crises suggests that they are not a reliable metric for detecting contagion.

Sign in / Sign up

Export Citation Format

Share Document