Does Systemic Risk in the Financial Sector Predict Future Economic Downturns

By Linda Allen, Turan G. Bali, Yi Tang. 2012

397 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/d8806ab9cca11c317a1d3393fdca3dff2a348d43

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Citations in the corpus

Syndication, Interconnectedness, and Systemic Risk (2018, background): “5 Fire-sale amplifications are also discussed in, for example, Kiyotaki and Moore (1997), Brunnermeier and Pedersen (2009), Allen et al. (2012a) and Greenwood et al. (2015). index in each month and document that the benchmark equallyweighted interconnectedness index is persistently lower compared…”
Where the Risks Lie: A Survey on Systemic Risk (2017, neutral): “Allen, Bali, and Tang (2012) show that high levels of systemic risk in the banking sector, as captured by their CATFIN measure, impact the macroeconomy through aggregate lending activity.”
Macroeconomic Risk and Hedge Fund Returns (2014, background): “Finally, we investigate whether the predictive power of uncertainty betas for future fund returns remains intact during subsample periods when significant structural breaks are observed.”
Banking stability, competition, and economic volatility (2016, background): “This analysis contributes to current efforts of regulators and academics to measure and monitor systemic risk, defined as the type of instability in the financial sector being able to originate economic downturns (Allen et al., 2012).”
Risk, Uncertainty, and Expected Returns (2011, background): “Our second set of uncertainty measures is based on the downside risk of ﬁ-nancial institutions obtained from the left tail of the time series and cross-sectional distribution of ﬁnancial ﬁrms’ returns (Allen, Bali, and Tang (2012)).”
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022, methodology): “Third, our work has a natural link to VaR and associated concepts, such as CoVaR (Adrian and Brunnermeier, 2016) and CATFIN (Allen et al., 2012).”
SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement (2012, neutral): “A number of recent studies have attempted to shed light on this issue, among others Allen et al. (2012), Giglio, Kelly, and Pruitt (2015) and Brownlees, Chabot, Ghysels, and Kurz (2016).”
Estimating Global Bank Network Connectedness (2017, neutral): “(2012), Allen et al. (2012), Acharya et al. (2012), Barigozzi and Brownlees (2013), Diebold and Yilmaz (2014), Brownlees and Engle (2015), Giglio et al. (2015), and Bianchi et al. (2015). There is, however, little empirical research on global bank connectedness.”
Determinants of Financial Stress in Emerging Market Economies (2014, neutral): “As pointed out by 1 See Arnold et al. (2012) for discussion on the challenges in monitoring banking systemic risks; and Allen et al. (2012) for discussion on the micro-level systemic risk measures.”
Systemic Risk and the Macroeconomy: An Empirical Evaluation (2016, methodology): “Allen et al. (2012) propose computing the VaR by fitting two types of parametric distributions, the Generalized Pareto Distribution (GPD) and the Skewed Generalized Error Distribution, as well as nonparametrically using the empirical cross-sectional distribution of returns (simply computing in each ”