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Challenges in Identifying and Measuring Systemic Risk

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  • Lars Peter Hansen

    () (The University of Chicago)

Abstract

Sparked by the recent “great recession†and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy.

Suggested Citation

  • Lars Peter Hansen, 2012. "Challenges in Identifying and Measuring Systemic Risk," Working Papers 2012-012, Becker Friedman Institute for Research In Economics.
  • Handle: RePEc:bfi:wpaper:2012-012
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    File URL: https://econresearch.uchicago.edu/sites/econresearch.uchicago.edu/files/BFI_2012-012.pdf
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    1. I. Gilboa & A. W. Postlewaite & D. Schmeidler., 2009. "Probability and Uncertainty in Economic Modeling," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
    2. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Macroeconomic Risk," American Economic Review, American Economic Association, vol. 97(2), pages 1-30, May.
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    8. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2007. "Probability and Uncertainty in Economic Modeling, Second Version," PIER Working Paper Archive 08-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Jan 2008.
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    Cited by:

    1. Bianconi, Marcelo & Hua, Xiaxin & Tan, Chih Ming, 2015. "Determinants of systemic risk and information dissemination," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 352-368.
    2. repec:spt:apfiba:v:8:y:2018:i:1:f:8_1_3 is not listed on IDEAS
    3. Paola Bongini & Laura Nieri, 2014. "Identifying and Regulating Systemically Important Financial Institutions," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 39-62, February.
    4. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
    5. Friedman, Daniel & Isaac, R. Mark & James, Duncan & Sunder, Shyam, 2014. "Risky Curves: On the Empirical Failure of Expected Utility," Santa Cruz Department of Economics, Working Paper Series qt87v8k86z, Department of Economics, UC Santa Cruz.
    6. repec:eee:riibaf:v:45:y:2018:i:c:p:620-631 is not listed on IDEAS
    7. Glasserman, Paul & Young, H. Peyton, 2016. "Contagion in financial networks," LSE Research Online Documents on Economics 68681, London School of Economics and Political Science, LSE Library.
    8. Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
    9. Purda, Lynnette & Sonmez, Fatma & Zhong, Ligang, 2015. "Financial institution credit assessment and implications for portfolio managers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 148-166.
    10. Paul Glasserman, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
    11. Rita Basto, 2013. "A Macro-prudential Policy for Financial Stability," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    12. repec:bis:bisbpc:94-19 is not listed on IDEAS
    13. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
    14. Gong, Di & Wagner, Wolf, 2016. "Systemic risk-taking at banks: Evidence from the pricing of syndicated loans," CEPR Discussion Papers 11150, C.E.P.R. Discussion Papers.
    15. Jaromir Benes & Michael Kumhof & Douglas Laxton, 2014. "Financial Crises in DSGE Models; Selected Applications of MAPMOD," IMF Working Papers 14/56, International Monetary Fund.
    16. International Monetary Fund, 2013. "West African Economic and Monetary Union (WAEMU); Staff Report on Common Policies for Member Countries," IMF Staff Country Reports 13/92, International Monetary Fund.
    17. Paul Glasserman & H. Peyton Young, 2015. "Contagion in Financial Markets," Working Papers 15-21, Office of Financial Research, US Department of the Treasury.
    18. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
    19. repec:eee:jimfin:v:82:y:2018:i:c:p:45-70 is not listed on IDEAS
    20. Hinz, Julian, 2017. "The ties that bind: Geopolitical motivations for economic integration," Kiel Working Papers 2085, Kiel Institute for the World Economy (IfW).
    21. Zigrand, Jean-Pierre, 2014. "Systems and systemic risk in finance and economics," LSE Research Online Documents on Economics 61220, London School of Economics and Political Science, LSE Library.
    22. Buch, Claudia M. & Krause, Thomas & Tonzer, Lena, 2017. "Drivers of systemic risk: Do national and European perspectives differ?," Discussion Papers 09/2017, Deutsche Bundesbank.
    23. Krause, Thomas & Buch, Claudia M. & Tonzer, Lena, 2015. "Drivers of Systemic Risk: Do National and European Perspectives Differ?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113103, Verein für Socialpolitik / German Economic Association.

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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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