Semantic Scholar Open Access 2012 2209 sitasi

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

Monica Billio Mila Getmansky A. Lo Loriana Pelizzon

Lihat Sumber DOI

Abstrak

We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can also identify and quantify financial crisis periods, and seem to contain predictive power in out-of-sample tests. Our results show an asymmetry in the degree of connectedness among the four sectors, with banks playing a much more important role in transmitting shocks than other financial institutions.

Topik & Kata Kunci

Business Economics

Penulis (4)

Monica Billio

Mila Getmansky

A. Lo

Loriana Pelizzon

Format Sitasi

APA MLA BibTeX

Billio, M., Getmansky, M., Lo, A., Pelizzon, L. (2012). Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors. https://doi.org/10.1016/J.JFINECO.2011.12.010

Akses Cepat

Lihat di Sumber doi.org/10.1016/J.JFINECO.2011.12.010

Informasi Jurnal

Tahun Terbit: 2012
Bahasa: en
Total Sitasi: 2209×
Sumber Database: Semantic Scholar
DOI: 10.1016/J.JFINECO.2011.12.010
Akses: Open Access ✓