Fire-Sale Spillovers and Systemic Risk

Fire-Sale Spillovers and Systemic Risk

We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific factors of...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The Journal of finance (New York) 2021-06, Vol.76 (3), p.1251-1294
Hauptverfasser: DUARTE, FERNANDO, EISENBACH, THOMAS M.
Format: Artikel
Sprache:eng
Schlagworte:
Federal Reserve banks
Financial systems
Liquidity
Risk exposure
Sales
Vulnerability
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page 1294
container_issue 3
container_start_page 1251
container_title The Journal of finance (New York)
container_volume 76
creator DUARTE, FERNANDO
EISENBACH, THOMAS M.
description We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm-specific measures of systemic risk, including SRISK and ΔCoVaR. The balance-sheet-based measures we propose are therefore useful early indicators of when and where vulnerabilities are building up.
doi_str_mv 10.1111/jofi.13010
format Article
fullrecord <record><control><sourceid>gale_proqu</sourceid><recordid>TN_cdi_proquest_journals_2522067854</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><galeid>A660718854</galeid><jstor_id>45378029</jstor_id><sourcerecordid>A660718854</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4310-dca11f25b661e9c4e8b15c3d0ca90ada192aed39088323828a7d11910360fc703</originalsourceid><addsrcrecordid>eNp9kEFLwzAUx4MoOKcXP0FB3EHofC9p0vQ4htPJYOD0HLI0HandOpNO3be3swqe_F_e5fd77_En5BJhiG1uy7pwQ2SAcER6yBOIBRV4THoAlMYIkp6SsxBKOITzHhlMnLfxQlc2WmxdVdXv1odIb_JosQ-NXTsTPbnwek5OCl0Fe_Ez--Rlcvc8fohn8_vpeDSLTcIQ4txoxILypRBoM5NYuURuWA5GZ6BzjRnVNmcZSMkok1TqNEfMEJiAwqTA-uSq27v19dvOhkaV9c5v2pOKckpBpJInLTXoqFX7t3IbU28a-9ms9C4EpUZCQIqyA2860Pg6BG8LtfVurf1eIahDYepQmPourIWxgz9cZff_kOpxPpn-OtedU4am9n8dyiBVCWepBJqxL9YldVs</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2522067854</pqid></control><display><type>article</type><title>Fire-Sale Spillovers and Systemic Risk</title><source>Wiley Online Library All Journals</source><creator>DUARTE, FERNANDO ; EISENBACH, THOMAS M.</creator><creatorcontrib>DUARTE, FERNANDO ; EISENBACH, THOMAS M.</creatorcontrib><description>We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm-specific measures of systemic risk, including SRISK and ΔCoVaR. The balance-sheet-based measures we propose are therefore useful early indicators of when and where vulnerabilities are building up.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/jofi.13010</identifier><language>eng</language><publisher>Cambridge: Wiley Periodicals LLC</publisher><subject>Federal Reserve banks ; Financial systems ; Liquidity ; Risk exposure ; Sales ; Vulnerability</subject><ispartof>The Journal of finance (New York), 2021-06, Vol.76 (3), p.1251-1294</ispartof><rights>2021 the American Finance Association</rights><rights>COPYRIGHT 2021 Blackwell Publishers Ltd.</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4310-dca11f25b661e9c4e8b15c3d0ca90ada192aed39088323828a7d11910360fc703</citedby><cites>FETCH-LOGICAL-c4310-dca11f25b661e9c4e8b15c3d0ca90ada192aed39088323828a7d11910360fc703</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fjofi.13010$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fjofi.13010$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,780,784,1416,27923,27924,45573,45574</link.rule.ids></links><search><creatorcontrib>DUARTE, FERNANDO</creatorcontrib><creatorcontrib>EISENBACH, THOMAS M.</creatorcontrib><title>Fire-Sale Spillovers and Systemic Risk</title><title>The Journal of finance (New York)</title><description>We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm-specific measures of systemic risk, including SRISK and ΔCoVaR. The balance-sheet-based measures we propose are therefore useful early indicators of when and where vulnerabilities are building up.</description><subject>Federal Reserve banks</subject><subject>Financial systems</subject><subject>Liquidity</subject><subject>Risk exposure</subject><subject>Sales</subject><subject>Vulnerability</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><recordid>eNp9kEFLwzAUx4MoOKcXP0FB3EHofC9p0vQ4htPJYOD0HLI0HandOpNO3be3swqe_F_e5fd77_En5BJhiG1uy7pwQ2SAcER6yBOIBRV4THoAlMYIkp6SsxBKOITzHhlMnLfxQlc2WmxdVdXv1odIb_JosQ-NXTsTPbnwek5OCl0Fe_Ez--Rlcvc8fohn8_vpeDSLTcIQ4txoxILypRBoM5NYuURuWA5GZ6BzjRnVNmcZSMkok1TqNEfMEJiAwqTA-uSq27v19dvOhkaV9c5v2pOKckpBpJInLTXoqFX7t3IbU28a-9ms9C4EpUZCQIqyA2860Pg6BG8LtfVurf1eIahDYepQmPourIWxgz9cZff_kOpxPpn-OtedU4am9n8dyiBVCWepBJqxL9YldVs</recordid><startdate>20210601</startdate><enddate>20210601</enddate><creator>DUARTE, FERNANDO</creator><creator>EISENBACH, THOMAS M.</creator><general>Wiley Periodicals LLC</general><general>Wiley Subscription Services, Inc</general><general>Blackwell Publishers Inc</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20210601</creationdate><title>Fire-Sale Spillovers and Systemic Risk</title><author>DUARTE, FERNANDO ; EISENBACH, THOMAS M.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4310-dca11f25b661e9c4e8b15c3d0ca90ada192aed39088323828a7d11910360fc703</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Federal Reserve banks</topic><topic>Financial systems</topic><topic>Liquidity</topic><topic>Risk exposure</topic><topic>Sales</topic><topic>Vulnerability</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>DUARTE, FERNANDO</creatorcontrib><creatorcontrib>EISENBACH, THOMAS M.</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>DUARTE, FERNANDO</au><au>EISENBACH, THOMAS M.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Fire-Sale Spillovers and Systemic Risk</atitle><jtitle>The Journal of finance (New York)</jtitle><date>2021-06-01</date><risdate>2021</risdate><volume>76</volume><issue>3</issue><spage>1251</spage><epage>1294</epage><pages>1251-1294</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><abstract>We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm-specific measures of systemic risk, including SRISK and ΔCoVaR. The balance-sheet-based measures we propose are therefore useful early indicators of when and where vulnerabilities are building up.</abstract><cop>Cambridge</cop><pub>Wiley Periodicals LLC</pub><doi>10.1111/jofi.13010</doi><tpages>44</tpages><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier ISSN: 0022-1082
ispartof The Journal of finance (New York), 2021-06, Vol.76 (3), p.1251-1294
issn 0022-1082
1540-6261
language eng
recordid cdi_proquest_journals_2522067854
source Wiley Online Library All Journals
subjects Federal Reserve banks
Financial systems
Liquidity
Risk exposure
Sales
Vulnerability
title Fire-Sale Spillovers and Systemic Risk
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-12T20%3A07%3A41IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-gale_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Fire-Sale%20Spillovers%20and%20Systemic%20Risk&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=DUARTE,%20FERNANDO&rft.date=2021-06-01&rft.volume=76&rft.issue=3&rft.spage=1251&rft.epage=1294&rft.pages=1251-1294&rft.issn=0022-1082&rft.eissn=1540-6261&rft_id=info:doi/10.1111/jofi.13010&rft_dat=%3Cgale_proqu%3EA660718854%3C/gale_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2522067854&rft_id=info:pmid/&rft_galeid=A660718854&rft_jstor_id=45378029&rfr_iscdi=true