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Does global financial cycle drive systemic risk?

Author

Listed:
  • Mikhail Stolbov

    (Moscow State Institute of International Relations (MGIMO University))

  • Maria Shchepeleva

    (National Research University Higher School of Economics)

  • Gazi Salah Uddin

    (Linkoping University)

Abstract

The paper studies the relationship between a financial cycle proxy and conditional capital shortfall (SRISK), a popular systemic risk measure, at the global level. Based on causal and directional dependence analyses in the time and time-frequency domains, we find that global financial cycle (GFC) drives SRISK. Besides, the GFC variable appears more useful in forecasting world industrial production. The results emphasize the GFC relevance for monitoring financial stability and forecasting crises relative to narrow systemic risk measures.

Suggested Citation

  • Mikhail Stolbov & Maria Shchepeleva & Gazi Salah Uddin, 2021. "Does global financial cycle drive systemic risk?," Economics Bulletin, AccessEcon, vol. 41(4), pages 2320-2329.
    • Handle: RePEc:ebl:ecbull:eb-21-00802
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    File URL: http://www.accessecon.com/Pubs/EB/2021/Volume41/EB-21-V41-I4-P200.pdf
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    More about this item

    Keywords

    global financial cycle; systemic risk; Granger causality; forecast;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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