دانلود مقاله ISI انگلیسی شماره 80392
ترجمه فارسی عنوان مقاله

یک شاخص ساده از ریسک سیستماتیک

عنوان انگلیسی
A simple indicator of systemic risk
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80392 2013 12 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Stability, Volume 9, Issue 1, April 2013, Pages 105–116

ترجمه کلمات کلیدی
ریسک سیستماتیک؛ همبستگی؛ بازده سهام
کلمات کلیدی انگلیسی
G01; G10; G18; G21; G28Systemic risk; Correlation; Stock returns
پیش نمایش مقاله
پیش نمایش مقاله  یک شاخص ساده از ریسک سیستماتیک

چکیده انگلیسی

We examine the relevance and effectiveness of stock return correlations among financial institutions as an indicator of systemic risk. By analyzing the trends and fluctuations of daily stock return correlations and default correlations among the 22 largest bank holding companies and investment banks from 1988 to 2008, we find that daily stock return correlation is a simple, robust, forward-looking, and timely systemic risk indicator. There is an increasing trend in stock return correlation among banks, whereas there is no obvious correlation trend among non-banks. We also disaggregate the stock returns into systematic and idiosyncratic components and find that the correlation increases are largely driven by the increases in correlations between banks’ idiosyncratic risks, which give rise to increasing systemic risk. Correlation spikes tend to predict or coincide with significant economic or market events, especially during the 2007–2008 financial crisis. Furthermore, we show that stock return correlations offer a perspective on the level of systemic risk in the financial sector that is not already captured by default correlations. Stock return correlations are not subject to data limitations or model specification errors that other potential systemic risk measures may face. Therefore, we recommend that regulators and businesses monitor daily stock return correlations among those large and highly leveraged financial institutions to track the level of systemic risk.