원문정보
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
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