An analysis of the literature on systemic financial risk: A survey

Silva, Walmir; Kimura, Herbert; Sobreiro, Vinícius Amorim

doi:10.1016/j.jfs.2016.12.004

Cited by 183 publications

(93 citation statements)

References 287 publications

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“…Similarly, military expenditures are influencing terrorism positively whereas corruption has impacted terrorism negatively in the sub-Saharan Africa region. Chesney, Reshetar, and Karaman (2011), Hippler and Hassan (2015), and Silva, Kimura, and Sobreiro (2017) examine the impact of terrorist attacks, financial crises, and natural disasters on the behaviour of equity and bond markets. Using an event study methodology, a non-parametric approach and a filtered GARCH-EVT model, they find that all terrorist attacks, whether industrial, regional, national, or global, do have an effect on the stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of terrorism on public debt in African countries

Abid

Sekrafi

2020

African Development Review

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Given the increase in the number of terrorist attacks in African countries, a better understanding of the relationship between terrorism, the informal economy and public debt is essential for policymakers. The model is empirically tested for 47 countries during the period 1996–2015. We use ordinary least squares (OLS), random effects (ER) and system generalized method of moments (GMM). Three terrorism indicators are used: the uncertain, the domestic, and the transnational. The results confirm that the rise in terrorism and the informal economy lead to an increase in public debt. The results also show that the informal economy magnifies the effect of terrorism on public debt. In addition, the results suggest that a larger informal economy reduces income taxes and therefore increases public debt and the increase in public spending reinforces the effects of terrorism on public debt. The reduction of terrorism should therefore be governments’ primary political objective. Given the detected complementarity between terrorism and the informal economy, the reduction of terrorism would also reduce the size of the informal economy and the public debt. The reduction of terrorism will also minimize the harmful effects of terrorism on public debt through public spending.

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Section: Literature Reviewmentioning

confidence: 99%

The impact of terrorism on public debt in African countries

Abid

Sekrafi

2020

African Development Review

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“…Therefore, to properly assess systemic risk, it is essential to identify not only the largest financial institutions-"too big to fail" (TBTF)-but also consider the interconnections between them: in this case, we are talking about "too interconnected to fail" (TITF). An increasing number of theoretical and empirical research has sought to address the problem of correct estimation of systemic risk (see Silva et al (2017)). Many methodologies have recently been implemented to quantify the contribution of individual financial institutions to systemic risk, for example, the CoVaR (Conditional Value-at-Risk) proposed by Adrian and Brunnermeier (2016), MES (Marginal Expected Shortfall) proposed by Acharya et al (2012) and SRISK (Conditional Capital Shortfall Index) proposed by Brownlees and Engle (2016).…”

Section: Introductionmentioning

confidence: 99%

The Time-Spatial Dimension of Eurozone Banking Systemic Risk

Foglia

Angelini

2019

Risks

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In this paper, we measure the systemic risk with a novel methodology, based on a “spatial-temporal” approach. We propose a new bank systemic risk measure to consider the two components of systemic risk: cross-sectional and time dimension. The aim is to highlight the “time-space dynamics” of contagion, i.e., if the CDS spread of bank i depends on the CDS spread of other banks. To do this, we use an advanced spatial econometrics design with a time-varying spatial dependence that can be interpreted as an index of the degree of cross-sectional spillovers. The findings highlight that the Eurozone banks have strong spatial dependence in the evolution of CDS spread, namely the contagion effect is present and persistent. Moreover, we analyse the role of the European Central Bank in managing contagion risk. We find that monetary policy has been effective in reducing systemic risk. However, the results show that systemic risk does not imply a policy intervention, highlighting how financial stability policy is not yet an objective.

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“…In this regard, the discussion has focused on market-based solutions to climate change, including a carbon tax, the revision of microprudential regulations and the role of new green financial instruments (for example, green bonds), which could be eventually used as a tool to greening central banks' monetary policies. The 1 See for instance the special issue in this journal on "Challenges for financial stability in Europe" (Galuscak & Horvath, 2018), see also Silva et al (2017) for a literature review on systemic financial risk, and the JFS special issue on "Network models, stress testing and other tools for financial stability monitoring and macroprudential policy design and implementation" for a proposition of new research avenues with respect to systemic risk analysis and financial stability implications (Battiston & Martinez-Jaramillo, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%