Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
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DOI：
10.2139/ssrn.1963216
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发表时间：
2011-11
期刊：
影响因子：
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通讯作者：
Monica Billio;Mila Getmansky;A. Lo;L. Pelizzon
中科院分区：
文献类型：
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作者：
Monica Billio;Mila Getmansky;A. Lo;L. Pelizzon
我们基于主成分分析和格兰杰因果网络提出了几种关联的计量经济学衡量方法，并将它们应用于对冲基金、银行、经纪/交易商和保险公司的月度收益。我们发现，在过去十年中，这四个部门变得高度相互关联，可能通过一个复杂且随时间变化的关系网络提高了金融和保险行业的系统性风险水平。这些衡量方法还可以识别和量化金融危机时期，并且在样本外测试中似乎具有预测能力。我们的结果显示，这四个部门之间的关联程度存在不对称性，银行在传递冲击方面比其他金融机构发挥着重要得多的作用。
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.