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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| Published in: | Economic modelling Vol. 91; pp. 646 - 658 |
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| Main Authors: | , , |
| Format: | Journal Article |
| Language: | English |
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Elsevier B.V
01-09-2020
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| Abstract | •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. |
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| AbstractList | •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. |
| Author | Kolari, James W. Sanz, Ivan Pastor López-Iturriaga, Félix J. |
| Author_xml | – sequence: 1 givenname: James W. surname: Kolari fullname: Kolari, James W. email: j-kolari@tamu.edu organization: Texas A&M University, Department of Finance, Mays Business School, College Station, TX, 77843, USA – sequence: 2 givenname: Félix J. surname: López-Iturriaga fullname: López-Iturriaga, Félix J. email: flopez@eco.uva.es organization: University of Valladolid (Spain), NRU Higher School of Economics (Russia), School of Business and Economics, Avda. Valle Del Esgueva 6, 47011, Valladolid, Spain – sequence: 3 givenname: Ivan Pastor surname: Sanz fullname: Sanz, Ivan Pastor email: ivanpastorsanz@gmail.com organization: University of Valladolid, School of Business and Economics, Avda. Valle Del Esgueva 6, 47011, Valladolid, Spain |
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