Econometric measures of connectedness and systemic risk in the finance and insurance sectors

• 成果类型: Article
• 署名作者: Billio, Monica; Getmansky, Mila; Lo, Andrew W.; Pelizzon, Loriana
• 署名单位: Massachusetts Institute of Technology (MIT); Universita Ca Foscari Venezia; University of Massachusetts System; University of Massachusetts Amherst
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.12.010
• 发表日期: 2012
• 页码: 535-559
• 关键词: systemic risk; Financial institutions; liquidity; financial crises

摘要

We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can also identify and quantify financial crisis periods, and seem to contain predictive power in out-of-sample tests. Our results show an asymmetry in the degree of connectedness among the four sectors, with banks playing a much more important role in transmitting shocks than other financial institutions. (C) 2011 Elsevier B.V. All rights reserved.