Bank Holdings and Systemic Risk
Bank Holdings and Systemic Risk
复制标题
DOI：
10.17016/feds.2018.063
复制
发表时间：
2018-08
期刊：
影响因子：
--
通讯作者：
Celso Brunetti;J. Harris;Shawn Mankad
中科院分区：
文献类型：
--
作者：
Celso Brunetti;J. Harris;Shawn Mankad
最近的金融危机将注意力集中在识别和衡量系统性风险上。在本文中，我们提出了一种新的方法来估计银行的投资组合作为每日银行间交易和股票收益的函数。而银行呢？资产以相对较低的频率向监管机构和/或公众报告(例如，每季度或每年)，我们的方法以较高的频率估计银行资产持有量，这使我们能够得出以下准确估计：(I)每家银行的投资组合集中度？衡量多元化的衡量标准？以及(Ii)跨银行的共同持有量-衡量市场对传播冲击的敏感度。我们发现有证据表明，从我们的方法得出的系统性风险度量在预测意义上领先于几个常用的系统性风险指标。
The recent financial crisis has focused attention on identifying and measuring systemic risk. In this paper, we propose a novel approach to estimate the portfolio composition of banks as function of daily interbank trades and stock returns. While banks? assets are reported to regulators and/or the public at relatively low frequencies (e.g. quarterly or annually), our approach estimates bank asset holdings at higher frequencies which allows us to derive precise estimates of (i) portfolio concentration within each bank?a measure of diversification?and (ii) common holdings across banks?a measure of market susceptibility to propagating shocks. We find evidence that systemic risk measures derived from our approach lead, in a forecasting sense, several commonly used systemic risk indicators.