Systemic Risk Indicators in the Eurozone: An Empirical
Evaluation

D 2016

Systemic Risk Indicators in the Eurozone: An Empirical Evaluation

DEEV, Oleg a Martin HODULA

Základní údaje

Originální název

Systemic Risk Indicators in the Eurozone: An Empirical Evaluation

Autoři

DEEV, Oleg (643 Rusko, garant, domácí) a Martin HODULA (203 Česká republika)

Vydání

Brno, European Financial Systems 2016. Proceedings of the 13th International Scientific Conference, od s. 94-101, 8 s. 2016

Nakladatel

Masaryk University

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Odkazy

URL

Kód RIV

RIV/00216224:14560/16:00091074

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-8308-0

UT WoS

000385692200012

Klíčová slova anglicky

systemic risk measures; Markov-switching models; DCC-GARCH models

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 10. 11. 2016 12:51, Oleg Deev, Ph.D.

Anotace

V originále

In this brief paper, we use combination of Markov-switching models and dynamic conditional correlation models to ex-post evaluate the performance of three widely used systemic risk measures (SRISK, CISS and term-spread) based on their ability to predict financial turmoil. We first compare systemic risk measures based on their dynamic correlations. Second, we identify three regimes for each indicator and evaluate them based on their ability to capture crisis information. We found that in practice, the correlations between studied systemic risk measures are indeed high and indicators are successful in capturing regimes of high financial stress. We have however, identified a few periods when the indicators are not overlapping, especially in pre- and post-crisis period.

Návaznosti

MUNI/A/1025/2015, interní kód MU

Název: Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému (Akronym: FinStabilita)

Investor: Masarykova univerzita, Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

DEEV, Oleg a Martin HODULA. Systemic Risk Indicators in the Eurozone: An Empirical Evaluation. In European Financial Systems 2016. Proceedings of the 13th International Scientific Conference. Brno: Masaryk University, 2016, s. 94-101. ISBN 978-80-210-8308-0.

@inproceedings{1355938,
   author = {Deev, Oleg and Hodula, Martin},
   address = {Brno},
   booktitle = {European Financial Systems 2016. Proceedings of the 13th International Scientific Conference},
   keywords = {systemic risk measures; Markov-switching models; DCC-GARCH models},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-210-8308-0},
   pages = {94-101},
   publisher = {Masaryk University},
   title = {Systemic Risk Indicators in the Eurozone: An Empirical Evaluation},
   url = {http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_september_2.pdf},
   year = {2016}
}

TY  - JOUR
ID  - 1355938
AU  - Deev, Oleg - Hodula, Martin
PY  - 2016
TI  - Systemic Risk Indicators in the Eurozone: An Empirical Evaluation
PB  - Masaryk University
CY  - Brno
SN  - 9788021083080
KW  - systemic risk measures
KW  - Markov-switching models
KW  - DCC-GARCH models
UR  - http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_september_2.pdf
N2  - In this brief paper, we use combination of Markov-switching models and dynamic conditional correlation models to ex-post evaluate the performance of three widely used systemic risk measures (SRISK, CISS and term-spread) based on their ability to predict financial turmoil. We first compare systemic risk measures based on their dynamic correlations. Second, we identify three regimes for each indicator and evaluate them based on their ability to capture crisis information. We found that in practice, the correlations between studied systemic risk measures are indeed high and indicators are successful in capturing regimes of high financial stress. We have however, identified a few periods when the indicators are not overlapping, especially in pre- and post-crisis period.
ER  -

DEEV, Oleg a Martin HODULA. Systemic Risk Indicators in the Eurozone: An Empirical Evaluation. In \textit{European Financial Systems 2016. Proceedings of the 13th International Scientific Conference}. Brno: Masaryk University, 2016, s.~94-101. ISBN~978-80-210-8308-0.

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