2015
DOI: 10.2139/ssrn.2617117
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Surfing Through the GFC: Systemic Risk in Australia

Abstract: We provide empirical evidence on the degree of systemic risk in Australia before, during and after the Global Financial Crisis. We calculate a daily index of systemic risk from 2004 to 2013 in order to understand how real economy firms influence the outcomes for the rest of the economy. This is done via a mapping of the interconnectedness of the financial and non-financial sectors. The financial sector is in general the home to the most consistently systemically risky firms in the economy. The mining sector be… Show more

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Cited by 7 publications
(6 citation statements)
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“…While the global financial crisis (GFC) primarily affected financial firms, the interconnectedness with the non-financial sector was also an important source of systematic risk for the economy (Acemoglu et al, 2015). Furthermore, Dungey et al (2017) show that in Australia, over the period 2004-2013, the real economy absorbed shocks that also impacted the financial sector. We extend the analysis from the immediate impact of the GFC to 2014, when the requirements relating to risk committees were introduced.…”
Section: Introductionmentioning
confidence: 99%
“…While the global financial crisis (GFC) primarily affected financial firms, the interconnectedness with the non-financial sector was also an important source of systematic risk for the economy (Acemoglu et al, 2015). Furthermore, Dungey et al (2017) show that in Australia, over the period 2004-2013, the real economy absorbed shocks that also impacted the financial sector. We extend the analysis from the immediate impact of the GFC to 2014, when the requirements relating to risk committees were introduced.…”
Section: Introductionmentioning
confidence: 99%
“…Our results in column 2 confirm the importance of energy sector firms (normalΓfalse^tE) in the Australian economy (Dungey et al ., ). In column 3, we check that our results are not driven by the inclusion of financial institutions.…”
Section: Testing the Granular Hypothesismentioning
confidence: 99%
“…This paper also relates to Dungey et al . (). That study characterises systemically important companies in Australia by how connected they are to the rest of the economy, and places an emphasis on the role played by financial institutions and energy sector firms.…”
Section: Introductionmentioning
confidence: 99%
“…The changing nature of the links between those institutions can be considered a measure of contagion (Dungey and Gajurel, 2015), while the links between spillovers and networks are highlighted in Diebold and Yılmaz (2014) via unsigned forecast error variance decompositions providing a single index of system's vulnerability. This paper overcomes the limitations of the unsigned single vulnerability index by highlighting vulnerability via newly proposed identification approaches using the signed return spillover index (Dungey et al, 2017b) complemented with a novel signed volatility spillover index.…”
Section: Introductionmentioning
confidence: 99%
“…We investigate spillover patterns in the global equity market using the Diebold and Yilmaz (DY) connectedness index (Yilmaz et al, 2018;Demirer et al, 2018c,b;Yilmaz, 2017;Diebold et al, 2017;Diebold and Yilmaz, 2015;Diebold and Yılmaz, 2014) and the multivariate historic decomposition (MHD) index (Dungey et al, 2017b). The DY provides information on the direction and size of spillovers, while the MHD provides the direction, size and sign, that is, whether the linkages dampen or amplify shock transmission.…”
Section: Introductionmentioning
confidence: 99%