Systemic risk and the macroeconomy: An empirical evaluation

被引：333

作者：

Giglio, Stefano ^{[1
]}

Kelly, Bryan ^{[1
]}

Pruitt, Seth ^{[2
]}

机构：

[1] Univ Chicago, Booth Sch Business, 5807 South Woodlawn Ave, Chicago, IL 60637 USA

[2] Arizona State Univ, WP Carey Sch Business, POB 873906, Tempe, AZ 85287 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2016年 / 119卷 / 03期

关键词：

Systemic risk; Quantile regression; Dimension reduction; Macroeconomy; QUANTILE REGRESSION; PRINCIPAL COMPONENTS; FINANCIAL CRISES; INFERENCE; PREDICTORS; MODELS;

D O I：

10.1016/j.jfineco.2016.01.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article studies how systemic risk and financial market distress affect the distribution of shocks to real economic activity. We analyze how changes in 19 different measures of systemic risk skew the distribution of subsequent shocks to industrial production and other macroeconomic variables in the US and Europe over several decades. We also propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and demonstrate their success in predicting future macroeconomic shocks out of sample. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：457 / 471

页数：15

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