G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12178
DP12178 Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression
Eric Ghysels; Benjamin Chabot
发表日期2017-07-24
出版年2017
语种英语
摘要We evaluate the performance of two popular systemic risk measures, CoVaR and SRISK, during eight financial panics in the era before FDIC insurance. Bank stock price and balance sheet data were not readily available for this time period. We rectify this shortcoming by constructing a novel dataset for the New York banking system before 1933. Our evaluation exercise focuses on assessing whether systemic risk measures were able to detect systemically important financial institutions and to provide early warning signals of aggregate financial sector turbulence. The predictive ability of CoVaR and SRISK is measured controlling for a set of commonly employed market risk measures and bank ratios. We find that CoVaR and SRISK help identifying systemic institutions in periods of distress beyond what is explained by standard risk measures up to six months prior to the panic events. Increases in aggregate CoVaR and SRISK precede worsening conditions in the financial system; however, the evidence of predictability is weaker.
主题Economic History ; Financial Economics
关键词Systemic risk Financial crises Risk measures
URLhttps://cepr.org/publications/dp12178
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540989
推荐引用方式
GB/T 7714
Eric Ghysels,Benjamin Chabot. DP12178 Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression. 2017.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Eric Ghysels]的文章
[Benjamin Chabot]的文章
百度学术
百度学术中相似的文章
[Eric Ghysels]的文章
[Benjamin Chabot]的文章
必应学术
必应学术中相似的文章
[Eric Ghysels]的文章
[Benjamin Chabot]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。