Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly interrelat...
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| Veröffentlicht in: | NBER Working Paper Series 2010-07, p.16223 |
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| creator | Billio, Monica Lo, Andrew W Getmansky Sherman, Mila Pelizzon, Loriana |
| description | We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in the finance and insurance industries. These measures can also identify and quantify financial crisis periods, and seem to contain predictive power for the current financial crisis. Our results suggest that hedge funds can provide early indications of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds, banks, insurance companies, and brokers. |
| doi_str_mv | 10.3386/w16223 |
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We find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in the finance and insurance industries. These measures can also identify and quantify financial crisis periods, and seem to contain predictive power for the current financial crisis. Our results suggest that hedge funds can provide early indications of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds, banks, insurance companies, and brokers.</description><identifier>ISSN: 0898-2937</identifier><identifier>DOI: 10.3386/w16223</identifier><language>eng</language><publisher>Cambridge, Mass: National Bureau of Economic Research</publisher><subject>Asset Pricing ; Banks ; Brokers ; Causality ; Econometrics ; Economic crisis ; Economic theory ; Economics ; Government sponsored enterprises ; Hedge funds ; Insurance companies ; Liquidity ; Monte Carlo simulation ; Principal components analysis ; Regulation of financial institutions ; Regulatory reform</subject><ispartof>NBER Working Paper Series, 2010-07, p.16223</ispartof><rights>Copyright National Bureau of Economic Research, Inc. 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Our results suggest that hedge funds can provide early indications of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds, banks, insurance companies, and brokers.</description><subject>Asset Pricing</subject><subject>Banks</subject><subject>Brokers</subject><subject>Causality</subject><subject>Econometrics</subject><subject>Economic crisis</subject><subject>Economic theory</subject><subject>Economics</subject><subject>Government sponsored enterprises</subject><subject>Hedge funds</subject><subject>Insurance companies</subject><subject>Liquidity</subject><subject>Monte Carlo simulation</subject><subject>Principal components analysis</subject><subject>Regulation of financial institutions</subject><subject>Regulatory reform</subject><issn>0898-2937</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2010</creationdate><recordtype>article</recordtype><sourceid>NBR</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNo90MFOwzAMBuAcQGIMeABOkTgXEidN3SOaNhgaQmK7V2nqig6ajqQV2ttTKOJk2fpkyz9jV1LcKoXm7ksaAHXCZgJzTCBX2Rk7j3EvBCAKOWNPS9f5rqU-NI4_k41DoMi7mm-Psad2HL428Z03nvdvxFeNt94Rt77iaz_a325Lru9CvGCntf2IdPlX52y3Wu4Wj8nm5WG9uN8klAEkSmmbo3OmQgO2limYEikTVCKAEBqdBJFCJVLC2iCStrJUpSml0RZMpebsZlp7CN3nQLEv9t0Q_HixkAYzlKhSGBWfFI3_NbE4hKa14VhIoY3RSskfcj0RX1L4B1Ni6ht-S1y1</recordid><startdate>20100701</startdate><enddate>20100701</enddate><creator>Billio, Monica</creator><creator>Lo, Andrew W</creator><creator>Getmansky Sherman, Mila</creator><creator>Pelizzon, Loriana</creator><general>National Bureau of Economic Research</general><general>National Bureau of Economic Research, Inc</general><scope>CZO</scope><scope>MPB</scope><scope>NBR</scope><scope>XD6</scope><scope>OQ6</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20100701</creationdate><title>Econometric Measures of Systemic Risk in the Finance and Insurance Sectors</title><author>Billio, Monica ; 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| language | eng |
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| source | National Bureau of Economic Research Publications; Alma/SFX Local Collection |
| subjects | Asset Pricing Banks Brokers Causality Econometrics Economic crisis Economic theory Economics Government sponsored enterprises Hedge funds Insurance companies Liquidity Monte Carlo simulation Principal components analysis Regulation of financial institutions Regulatory reform |
| title | Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
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