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Measuring systemic risk in the U.S. Banking system

Author

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  • Kolari, James W.
  • López-Iturriaga, Félix J.
  • Sanz, Ivan Pastor

Abstract

•A novel measure of systemic risk using mapping and regression methods is proposed.•Default probabilities for U.S. banks are aggregated into a single macro measure.•Our measure has predictive power to detect systemic volatility prior to the 2008–09 crisis.•According to our measure, systemic risk returned to normal levels by 2012.•Micro- and macro-prudential measures are useful in assessing systemic risk.

Suggested Citation

  • Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2020. "Measuring systemic risk in the U.S. Banking system," Economic Modelling, Elsevier, vol. 91(C), pages 646-658.
    • Handle: RePEc:eee:ecmode:v:91:y:2020:i:c:p:646-658
    DOI: 10.1016/j.econmod.2019.12.005
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