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Quantifying Systemic Risk

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  • Joseph G. Haubrich
  • Andrew W. Lo

Abstract

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Suggested Citation

  • Joseph G. Haubrich & Andrew W. Lo, 2013. "Quantifying Systemic Risk," NBER Books, National Bureau of Economic Research, Inc, number haub10-1, January.
  • Handle: RePEc:nbr:nberbk:haub10-1
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    References listed on IDEAS

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    1. Charles M. Tiebout, 1956. "A Pure Theory of Local Expenditures," Journal of Political Economy, University of Chicago Press, vol. 64, pages 416-416.
    2. S.K. Bhutani, 2009. "China and India," India Quarterly: A Journal of International Affairs, , vol. 65(4), pages 383-391, October.
    3. Shang-Jin Wei & Xiaobo Zhang, 2011. "The Competitive Saving Motive: Evidence from Rising Sex Ratios and Savings Rates in China," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 511-564.
    4. Marcos D. Chamon & Eswar S. Prasad, 2010. "Why Are Saving Rates of Urban Households in China Rising?," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 93-130, January.
    5. Wurgler, Jeffrey, 2000. "Financial markets and the allocation of capital," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 187-214.
    6. Yongheng Deng & Randall Morck & Jing Wu & Bernard Yeung, 2011. "Monetary and Fiscal Stimuli, Ownership Structure, and China's Housing Market," NBER Working Papers 16871, National Bureau of Economic Research, Inc.
    7. Rafael La Porta & Florencio Lopez-De-Silanes & Andrei Shleifer, 2002. "Government Ownership of Banks," Journal of Finance, American Finance Association, vol. 57(1), pages 265-301, February.
    8. Zhigang Li, 2012. "Comment on "Provincial and Local Governments in China: Fiscal Institutions and Government Behavior"," NBER Chapters,in: Capitalizing China, pages 369-372 National Bureau of Economic Research, Inc.
    9. Li, Hongbin & Meng, Lingsheng & Wang, Qian & Zhou, Li-An, 2008. "Political connections, financing and firm performance: Evidence from Chinese private firms," Journal of Development Economics, Elsevier, pages 283-299.
    10. Xiaolu Wang & Wing Thye Woo, 2011. "The Size and Distribution of Hidden Household Income in China," Asian Economic Papers, MIT Press, vol. 10(1), pages 1-26, Winter/Sp.
    11. Fogel, Kathy & Morck, Randall & Yeung, Bernard, 2008. "Big business stability and economic growth: Is what's good for General Motors good for America?," Journal of Financial Economics, Elsevier, vol. 89(1), pages 83-108, July.
    12. George J. Stigler, 1971. "The Theory of Economic Regulation," Bell Journal of Economics, The RAND Corporation, vol. 2(1), pages 3-21, Spring.
    13. Dennis Tao Yang & Junsen Zhang & Shaojie Zhou, 2012. "Why Are Saving Rates So High in China?," NBER Chapters,in: Capitalizing China, pages 249-278 National Bureau of Economic Research, Inc.
    14. Jin, Li & Myers, Stewart C., 2006. "R2 around the world: New theory and new tests," Journal of Financial Economics, Elsevier, vol. 79(2), pages 257-292, February.
    15. Cédric Tille, 2012. "Sailing Through This Storm? Capital Flows In Asia During The Crisis," Pacific Economic Review, Wiley Blackwell, pages 467-488.
    16. Morck, Randall & Nakamura, Masao, 2007. "Business Groups and the Big Push: Meiji Japan's Mass Privatization and Subsequent Growth," Enterprise & Society, Cambridge University Press, pages 543-601.
    17. Chang-Tai Hsieh & Peter J. Klenow, 2009. "Misallocation and Manufacturing TFP in China and India," The Quarterly Journal of Economics, Oxford University Press, vol. 124(4), pages 1403-1448.
    18. Tamim Bayoumi & Hui Tong & Shang-Jin Wei, 2012. "The Chinese Corporate Savings Puzzle: A Firm-level Cross-Country Perspective," NBER Chapters,in: Capitalizing China, pages 283-308 National Bureau of Economic Research, Inc.
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    21. repec:hrv:faseco:30747188 is not listed on IDEAS
    22. Chamon, Marcos & Liu, Kai & Prasad, Eswar, 2013. "Income uncertainty and household savings in China," Journal of Development Economics, Elsevier, pages 164-177.
    23. Huang,Yasheng, 2008. "Capitalism with Chinese Characteristics," Cambridge Books, Cambridge University Press, number 9780521898102, December.
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    Cited by:

    1. Fischer, Thomas & Riedler, Jesper, 2014. "Prices, debt and market structure in an agent-based model of the financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 95-120.
    2. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 32(75), pages 1-22, December.
    3. repec:gam:jsusta:v:9:y:2017:i:4:p:599-:d:95756 is not listed on IDEAS
    4. Marcella Lucchetta & Gianni De Nicolo, 2012. "Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing," IMF Working Papers 12/58, International Monetary Fund.
    5. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
    6. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.
    7. Acharya, Viral V. & Mehran, Hamid & Thakor, Anjan V., 2010. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting," Staff Reports 469, Federal Reserve Bank of New York, revised 01 Dec 2014.
    8. Drago Bergholt & Päivi Lujala, 2012. "Climate-related natural disasters, economic growth, and armed civil conflict," Journal of Peace Research, Peace Research Institute Oslo, vol. 49(1), pages 147-162, January.
    9. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 241-255.
    10. De Nicolò, Gianni & Juvenal, Luciana, 2014. "Financial integration, globalization, and real activity," Journal of Financial Stability, Elsevier, pages 65-75.
    11. De Nicolò, Gianni & Juvenal, Luciana, 2014. "Financial integration, globalization, and real activity," Journal of Financial Stability, Elsevier, pages 65-75.
    12. Matteo Serri & Guido Caldarelli & Giulio Cimini, 2016. "How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation," Papers 1611.04311, arXiv.org.
    13. Arinaminpathy, Nimalan & Kapadia, Sujit & May, Robert, 2012. "Size and complexity in model financial systems," Bank of England working papers 465, Bank of England.

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