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Das, Sanjiv R. - 2018

U.S. banking crisis of the 20th century. Our systemic risk measure captures both the credit risk of an individual bank … as well as a bank's position in the network. We construct linkages between all U.S. commercial banks in 1929 and 1934 so … banking crisis that occurred between 1930-33 raised systemic risk per bank by 33% and increased the riskiness of the very …

Persistent link: https://www.econbiz.de/10012481052

Systemic risk and severe economic downturns : a targeted and sparse analysis

Caporin, Massimiliano; Costola, Michele; Garibal, … - In: Journal of banking & finance 134 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013400138

Systemic Risk and the Macroeconomy : An Empirical Evaluation

Giglio, Stefano - 2015

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...

Persistent link: https://www.econbiz.de/10013027685

Systemic Risk and the Macroeconomy : An Empirical Evaluation

Giglio, Stefano - 2015

Persistent link: https://www.econbiz.de/10012457703

Recovery from Financial Crises : Evidence from 100 Episodes

Reinhart, Carmen M. - 2014

We examine the evolution of real per capita GDP around 100 systemic banking crises. Part of the costs of these crises owes to the protracted nature of recovery. On average, it takes about eight years to reach the pre-crisis level of income; the median is about 6 ½ years. Five to six years after...

Persistent link: https://www.econbiz.de/10012458841

Systemic Risks and the Macroeconomy

De Nicolò, Gianni - 2011

real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the …

Persistent link: https://www.econbiz.de/10012461660

The Great Recession : US dynamics and spillovers to the world economy

Bagliano, Fabio C.; Morana, Claudio - In: Journal of banking & finance 36 (2012) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10009411179

The US, Economic News, and the Global Financial Cycle

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...

Persistent link: https://www.econbiz.de/10014247914

Financial Frictions in Production Networks

Bigio, Saki - 2016

We study how an economy's production structure determines the response of aggregate output and employment to sectoral financial shocks. In our framework, economic production is organized in an input-output network in which firms face financial constraints on their working capital. We show how...

Persistent link: https://www.econbiz.de/10012456463

The Network Origins of Large Economic Downturns

Acemoglu, Daron - 2013

This paper shows that large economic downturns may result from the propagation of microeconomic shocks over the input-output linkages across different firms or sectors within the economy. Building on the framework of Acemoglu et al. (2012), we argue that the economy's input-output structure can...

Persistent link: https://www.econbiz.de/10012459432