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Industrial firms and systemic risk

Author

Listed:
  • Thomas J.Flavin

    (Department of Economics Finance and Accounting, National University of Ireland, Maynooth)

  • Mardi Dungey

    (Tasmanian School of Business and Economics, University of Tasmania, Hobart, TAS 7001, Australia)

  • Thomas O'Connor

    (Department of Economics Finance and Accounting, National University of Ireland, Maynooth)

  • Michael Wosser

    (Financial Stability Division, Central Bank of Ireland, Dublin, Ireland.)

Abstract

We investigate the systemic importance of U.S. industrial firms and analyse the firm-specific characteristics that identify systemically important industrials. We compute two firm-specific measures of systemic risk for 367 non-financial corporations and confirm that industrial firms are both vulnerable to systemic shocks and contribute to system-wide risk. Systemic risk measures exhibit substantial variation across firms and over time. Debt and trade credit are related to both dimensions of systemic risk, while a range of other firm characteristics are associated with systemic risk in at least one direction. The differences between the dimensions of risk and their associated characteristics underline the importance of analysing both measures of risk. Finally, we report some striking differences vis-Ã -vis the extant literature on banks and non-bank financials.

Suggested Citation

  • Thomas J.Flavin & Mardi Dungey & Thomas O'Connor & Michael Wosser, 2020. "Industrial firms and systemic risk," Economics Department Working Paper Series n298-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    • Handle: RePEc:may:mayecw:n298-20.pdf
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    File URL: http://repec.maynoothuniversity.ie/mayecw-files/N298-20.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Systemic risk; MES; ∆CoVaR; industrial firms; financial crises.;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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