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Measuring network systemic risk contributions: A leave-one-out approach

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  • Hué, Sullivan
  • Lucotte, Yannick
  • Tokpavi, Sessi

Abstract

The aim of this paper is to propose a new network measure of systemic risk contributions that combines the pair-wise Granger causality approach with the leave-one-out concept. This measure is based on a conditional Granger causality test and consists of measuring how far the proportion of statistically significant connections in the system breaks down when a given financial institution is excluded. We analyse the performance of our measure of systemic risk by considering a sample of the largest banks worldwide over the 2003–2018 period. We obtain three important results. First, we show that our measure is able to identify a large number of banks classified as global systemically important banks (G-SIBs) by the Financial Stability Board (FSB). Second, we find that our measure is a robust and statistically significant early-warning indicator of downside returns during the last financial crisis. Finally, we investigate the potential determinants of our measure of systemic risk and find similar results to the existing literature. In particular, our empirical results suggest that the size and the business model of banks are significant drivers of systemic risk.

Suggested Citation

  • Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019. "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
  • Handle: RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114
    DOI: 10.1016/j.jedc.2018.12.001
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    More about this item

    Keywords

    Systemic risk; Interconnectedness; Financial networks; Granger-causality; Spurious causalities; Leave-one-out;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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