| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20963 |
| 来源ID | Working Paper 20963 |
| Systemic Risk and the Macroeconomy: An Empirical Evaluation | |
| Stefano Giglio; Bryan T. Kelly; Seth Pruitt | |
| 发表日期 | 2015-02-23 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and prove their consistency in a factor model setting. Empirically, systemic risk indexes provide significant predictive information out- of-sample for the lower tail of future macroeconomic shocks. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w20963 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578638 |
| 推荐引用方式 GB/T 7714 | Stefano Giglio,Bryan T. Kelly,Seth Pruitt. Systemic Risk and the Macroeconomy: An Empirical Evaluation. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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