Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

• 成果类型: Article
• 署名作者: Allen, Linda; Bali, Turan G.; Tang, Yi
• 署名单位: Georgetown University; City University of New York (CUNY) System; Baruch College (CUNY); Fordham University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs094
• 发表日期: 2012
• 页码: 3000
• 关键词: inference; heteroskedasticity; returns; CRISIS; banks

摘要

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with U.S., European, and Asian bank data. Consistent with bank specialness, the CATFIN of both large and small banks forecasts macroeconomic declines, whereas a similarly defined measure for both nonfinancial firms and simulated fake banks has no marginal predictive ability. High levels of systemic risk in the banking sector impact the macroeconomy through aggregate lending activity. A conditional asset pricing model shows that CATFIN is priced for financial and nonfinancial firms.