Earticle

초록

영어

This paper examines the amplifying mechanism of systemic risk propagation within a nonlinear framework. We focus on the hidden leverage-induced asset value dynamics in the financial markets, intertwined with balance-sheet components of the banking system. We propose a systemic leverage index by estimating smooth transition regression models based on the intrinsic element of the financial system, off-balance-sheet transaction, and cross-border activities of the Korean commercial banking system. We find strong evidence that the amplification is more pronounced with the cross-sectional homogeneity in managing systemic leverage as a whole. This observation provides the important policy-oriented implication that an individual bank's systemic importance can be gauged by its marginal contribution to system- wide homogeneity.

목차

Abstract
 1 Introduction
 2 Systemic Leverages and its Components
  2.1 Economic Implication of Systemic Leverage
  2.2 Systemic Leverage Components
  2.3 Amplifying Mechanism and Homogeneity
 3 Methodology and Data
  3.1 Model Specication
  3.2 Smooth Transition Regression Model
  3.3 Data and Sample
 4 Empirical Results
  4.1 Nonlinear Systemic Risk Propagation
  4.2 Marginal Contributions to the Systemic Vulnerability
  4.3 Homogeneity at the Individual Level
  4.4 Homogeneity measure as a macroprudential toolkit
 5 Conclusion
 References

키워드

저자

• Myeong Hyeon Kim [ Korea University Business School ]
• Baeho Kim [ Korea University Business School ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330