Lastly, our study is also anchored in the financial economics literature that has advocated the importance of the predictive power of systemic risk measures with respect to macroeconomic and uncertainty indicators see Allen et al., 2012a; Giglio et al., 2016; Danielsson et al., 2016; Caporin ...
Introduction: Methodology, systemic risk, and the economics professionAn introduction is presented in which the editors discuss various reports within the issue on topics including the use of three modeling techniques on the division of cognitive labor by Michael Weisberg, herding in science by Michael...
If this definition captures much of the spirit of systemic risk, it fails to address how to measure or quantify the level of systemic risk, and how it might be distributed over the network. Much of current research on systemic risk is dedicated to defining measures of systemic risk and ident...
(2016). Systemic risk and the macroeconomy: An empirical evaluation. Journal of Financial Economics, 119(3), 457–471. https://doi.org/10.1016/j.jfineco.2016.01.010 Article Google Scholar Goutte, S. (2014). Conditional Markov regime switching model applied to economic modelling. Economic ...
2017, use the term “toxic arbitrage” with a similar definition). In a period of uncertainty about prices, which can be driven by multiple automatic transactions by HFT (like in the “flash crash” of 2010), the information risk that non-HFT market makers face impedes them to fulfil ...
As noted earlier, what has primarily motivated the widespread adoption of closeout netting and collateral protection of derivatives contracts is the argument that doing so reduces systemic risk. No single generally-agreed definition of what constitutes Summary and conclusions Netting and collateral enhance...
A precise definition of systemic risk is very difficult but it exist a vast literature on this theme and a variety of views regarding systemic risk. Broadly speaking, the phenomenon is related to systemic shocks that affect many institutions, markets and systems simultaneously. Narrow, systemic risk...
The systemic risk induced by climate change represents one of the most prominent threats facing humanity and has attracted increasing attention since the outbreak of the COVID-19 pandemic at the end of 2019. The existing l
That is not to say that the 4.0 percent statistic is wrong, based on the definition used to calculate it. Rather, it is quite inadequate. The better measure is the U-6 statistic that is also issued by the U.S. government but invariably ignored. What is the U-6? This number ...
Definition 2 Stress diffusion index: the stress diffusion index of economic agent j, dj, is its potential ability of diffusing Application: systemic risk in the Brazilian financial and real sectors In this section, we apply the systemic risk framework to the Brazilian bank-firm and bank-bank net...