This work contributes to the timely debate about the consequences of the materialization of financial instability in the global economic and financial system. The topic of measuring and forecasting systemic risk, together with the related implications for policy makers, is explored from different angles. First, we propose a method to estimate forward-looking probabilities of joint default, with an application to the recent European debt crisis. We find evidence of increasing systemic risk and danger of default contagion from early 2007 and more significantly from late 2011 onwards. Second, a novel modelling framework to measure systemic risk in a unified approach, relying on an extended information basis across both financial and macroeconomic aggregates, is proposed and tested using data from 1995 to 2011. Third, we analyse in particular the late 2000s crisis and the European debt crisis, by means of a novel modelling set-up to test for contagion versus excess interdependence. The empirical application reveals that the 2007-09 financial crisis characterized as a persistent period of financial distress, whereas the recent debt crisis has to be understood as a short-lived phenomenon, having been prompted by volatility spillovers, which do not display trend in the long-term. Finally, we propose an empirical study to measure the reaction of the Monetary Authorities to systemic risk, and highlight important differences between Central Banks' monetary conducts during the recent period of financial turmoil.

(2014). Essays in Systemic Risk and Contagion [doctoral thesis - tesi di dottorato]. Retrieved from http://hdl.handle.net/10446/30389

Essays in Systemic Risk and Contagion

PIANETI, Riccardo
2014-02-07

Abstract

This work contributes to the timely debate about the consequences of the materialization of financial instability in the global economic and financial system. The topic of measuring and forecasting systemic risk, together with the related implications for policy makers, is explored from different angles. First, we propose a method to estimate forward-looking probabilities of joint default, with an application to the recent European debt crisis. We find evidence of increasing systemic risk and danger of default contagion from early 2007 and more significantly from late 2011 onwards. Second, a novel modelling framework to measure systemic risk in a unified approach, relying on an extended information basis across both financial and macroeconomic aggregates, is proposed and tested using data from 1995 to 2011. Third, we analyse in particular the late 2000s crisis and the European debt crisis, by means of a novel modelling set-up to test for contagion versus excess interdependence. The empirical application reveals that the 2007-09 financial crisis characterized as a persistent period of financial distress, whereas the recent debt crisis has to be understood as a short-lived phenomenon, having been prompted by volatility spillovers, which do not display trend in the long-term. Finally, we propose an empirical study to measure the reaction of the Monetary Authorities to systemic risk, and highlight important differences between Central Banks' monetary conducts during the recent period of financial turmoil.
7-feb-2014
26
2012/2013
SCUOLA DI DOTTORATO IN ECONOMIA, MATEMATICA APPLICATA E RICERCA OPERATIVA
CONSIGLI, GIORGIO
URGA, GIOVANNI
Pianeti, Riccardo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/30389
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