IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-04806933.html
   My bibliography  Save this paper

On the correlation of systemic dimensions

Author

Listed:
  • Mathis Mourey

    (UGA - Université Grenoble Alpes)

Abstract

We propose an analysis of correlation between three systemic risk measures: ∆CoVaR, Granger causalities and ILLIQ. Based on previous research, we interpret the measures above as proxies for systemic dimensions; respectively, Losses, Connectedness and Illiquidity. Our study shows that systemic dimensions are uncorrelated in stable periods and lose their orthogonality in crisis periods. This result confirms that systemic risk is a composition of different type of risk that occur concomitantly. Moreover, we show that, by applying a specific lag for each systemic dimensions, we improve the identification of systemic crisis periods and reduce the noise of the measure. This constitutes an evidence of a peculiar order in the occurrence of systemic dimensions; hinting that a specific chronology of systemic events might exist.

Suggested Citation

  • Mathis Mourey, 2022. "On the correlation of systemic dimensions," Working Papers hal-04806933, HAL.
    • Handle: RePEc:hal:wpaper:hal-04806933
    Note: View the original document on HAL open archive server: https://hal.science/hal-04806933v1
    as

    Download full text from publisher

    File URL: https://hal.science/hal-04806933v1/document
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-04806933. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.