Earticle

초록

영어

This paper examines the mechanism of systemic risk propagation through system- wide latent leverage channel. 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 latent 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 that a shock to the latent leverage index impacts the macroeconomy with the lag of three quarters. This finding provides an important policy-oriented implication for macroprudential supervision of banking system.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. System-wide Latent Leverage
 Ⅲ. Methodology and Data
  3.1 Model Specification
  3.2 Data and Sample
 Ⅳ. Empirical Results
  4.1 Estimation Results
  4.2 Construction of the Latent Leverage Index
  4.3 Propagation Mechanism of Systemic Risk
 V. Conclusion
 References

키워드

저자

• Myeong Hyeon Kim [ Researcher, Korea Housing & Urban Guarantee Corporation, Asian Institute of Corporate Governance at Korea University ]
• Baeho Kim [ Professor, Korea University Business School ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330