Measuring systemic risk in the U.S. Banking system

Measuring systemic risk in the U.S. Banking system

•A novel measure of systemic risk using mapping and regression methods is proposed.•Default probabilities for U.S. banks are aggregated into a single macro measure.•Our measure has predictive power to detect systemic volatility prior to the 2008–09 crisis.•According to our measure, systemic risk ret...

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Bibliographic Details
Published in:Economic modelling Vol. 91; pp. 646 - 658
Main Authors: Kolari, James W., López-Iturriaga, Félix J., Sanz, Ivan Pastor
Format: Journal Article
Language:English
Published: Elsevier B.V 01-09-2020
Online Access:Get full text
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Summary:•A novel measure of systemic risk using mapping and regression methods is proposed.•Default probabilities for U.S. banks are aggregated into a single macro measure.•Our measure has predictive power to detect systemic volatility prior to the 2008–09 crisis.•According to our measure, systemic risk returned to normal levels by 2012.•Micro- and macro-prudential measures are useful in assessing systemic risk.
ISSN:0264-9993
1873-6122
DOI:10.1016/j.econmod.2019.12.005