We develop a measure of systemic risk of network of economic sectors, both financial and real sectors, based on symbolic transfer entropy (STE), by incorporating the strength and asymmetry of information flow and by calibrating the works of Billio and et. al. (2012). Investigating the time variation of systemic risk in the United States using size weighted index return of Fama and French 48 industries, we document that systemic risk of whole economy as well as nancial sector start to increase beginning from the year 2001 and grow continuously until it reaches a peak in 2008. In addition, we find that systemic risk pops up during Asian and Russian currency crisis in 1998 albeit for short duration. In addition, we nd that systemic risks are closely linked to the rest of the economy. We use a battery of macro-economic variables, and show our systemic risk measure is robust with unemployment, treasury rate, return and volatility of stock index among other macro-economic variables. Interestingly, the systemic risk in 2010 remains at same high level as in nancial crisis period of 2007/2008.
Keywords: systemic risk, real and nancial sector interaction, contagion, information flow
[2013년 제 2차] Systemic Risk, Financial Crisis and Vulnerability o
작성자 : 관리자
조회수 : 1075
게시일 :
2013-06-05