量化金融部门系统性风险的内生和外生冲击：全球金融危机与 COVID-19 的比较

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2024-02-16 DOI:10.1016/j.qref.2024.02.004

Muhammad Usman , Zaghum Umar , Sun-Yong Choi , Tamara Teplova

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引用次数: 0

摘要

在本研究中，我们使用对大型银行收益的内生冲击和外生冲击进行分离，以比较每种冲击对金融行业系统性风险的影响。我们使用 copula-CoVaR 方法和具有时变矩的 GARCH (1,1) 对尾部收益的边际分布函数和双变量概率分布进行建模。我们发现，在金融体系中，内生风险主导外生风险。对 2008 年全球金融危机和 COVID-19 的比较显示，只有当系统受到的外生冲击持续存在时，危机才会加剧。此外，我们还发现，大型银行在正常时期降低了系统的总风险，但在危机时期却增加了金融系统的风险。我们的研究结果对政策制定者、投资者和投资组合经理具有重要意义。

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Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19

In this study, we use segregated endogenous and exogenous shocks to large banks’ returns to compare the effect of each on financial sector systemic risk. We use the copula-CoVaR methodology and GARCH (1,1) with time-varying moments to model the marginal distribution function and bivariate probability distribution of the tail returns. We find that endogenous risk dominates exogenous risk in the financial system. A comparison of the 2008 global financial crisis and COVID-19 reveals that the crisis aggravates only as exogenous shocks to the system persist. Additionally, we find that large banks reduce the total risk of the system in normal times but increase the risk of the financial system in crisis times. Our findings have important implications for policymakers, investors, and portfolio managers.

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.