Systemic risk and the macroeconomy: An empirical evaluation

• 成果类型: Article
• 署名作者: Giglio, Stefano; Kelly, Bryan; Pruitt, Seth
• 署名单位: University of Chicago; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.010
• 发表日期: 2016
• 页码: 457-471
• 关键词: systemic risk; quantile regression; Dimension Reduction; macroeconomy

摘要

This article studies how systemic risk and financial market distress affect the distribution of shocks to real economic activity. We analyze how changes in 19 different measures of systemic risk skew the distribution of subsequent shocks to industrial production and other macroeconomic variables in the US and Europe over several decades. We also propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and demonstrate their success in predicting future macroeconomic shocks out of sample. (C) 2016 Elsevier B.V. All rights reserved.