Systemic Risk and the Macroeconomy: An Empirical Evaluation

By Stefano Giglio, Bryan T. Kelly, Seth Pruitt. 2016

542 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f212d6f0f46a4323e4499c8ecaf42ecf55685137

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Citations in the corpus

Sensitive industries produce better ESG performance: Evidence from emerging markets (2017, background): “However, the absence of stress does not necessarily trigger a macroeconomic boom (Gertler and Kiyotaki, 2010; Mendoza, 2010; He and Krishnamurthy, 2012; Giglio et al., 2016).”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “This definition is generalized by Girardi and Ergun (2013), who define the financial distress of firm i as a situation in which the loss exceeds the VaR. We propose a comprehensive comparison of these measures in Section 5, along with an empirical application. Other global measures. Many other paper”
The benefits are at the tail: Uncovering the impact of macroprudential policy on growth-at-risk (2020, methodology): “More related to financial stability the method has been used to assess the impact of systemic risk easures over the GDP growth distribution (Giglio et al., 2016; Aikman et al., 2018; Lang et al., 2019).”
Fire‐Sale Spillovers and Systemic Risk (2015, unknown): “The risk measures from Giglio et al. (2013) are given at a monthly frequency, while our FR Y-9C measure is quarterly.”
Bank Size, Capital, and Systemic Risk: Some International Evidence (2016, unknown): “(2012) and Giglio et al. (2013) show that a combination of systemic risk”
Estimating Global Bank Network Connectedness (2017, unknown): “…see for example, Diebold & Yilmaz (2009), Acharya et al. (2017), Billio et al. (2012), L. Allen et al. (2012), Acharya et al. (2012), Barigozzi & Brownlees (2013), Diebold & Yilmaz (2014), Brownlees & Engle (2015), Bianchi et al. (2015), Giglio et al. (2016), and Adrian & Brunnermeier (2016).”
Why do some banks contribute more to global systemic risk? (2018, result): “Consequently, we find no support for the findings of Gorton (2010) or Beltratti and Stulz (2012) that the funding fragility of banks is a critical driver of systemic risk.”
TENET: Tail-Event driven NETwork risk (2016, methodology): “Since the data is not equally spaced we choose a bandwidth h based on k-nearest neighbor procedure (See Härdle et al. (2004) and Carroll and Härdle (1989)).”