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Non-financial corporations and systemic risk

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  • Dungey, Mardi
  • Flavin, Thomas
  • O'Connor, Thomas
  • Wosser, Michael

Abstract

We investigate the systemic importance of U.S. non-financial corporations and analyse the firm-specific characteristics that identify systemically important non-financial firms. We compute two firm-specific measures of systemic risk for 1145 non-financial corporations and confirm that these firms are both vulnerable to systemic shocks and contribute to system-wide risk, though firms that are high in one dimension of risk are not necessarily high in the other. Systemic risk measures exhibit substantial variation across firms and over time. The firm's beta, value-at-risk, size, debt and trade credit are related to both dimensions of systemic risk, while a range of other firm characteristics are associated with systemic risk in at least one direction. The differences between the dimensions of risk and their associated characteristics underline the importance of analysing both measures of risk.

Suggested Citation

  • Dungey, Mardi & Flavin, Thomas & O'Connor, Thomas & Wosser, Michael, 2022. "Non-financial corporations and systemic risk," Journal of Corporate Finance, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002510
    DOI: 10.1016/j.jcorpfin.2021.102129
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    More about this item

    Keywords

    Systemic risk; MES; ΔCoVaR; Non-financial corporations; Financial crises;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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