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Expected Duration as a Leading Index for Systemic Risk

Author

Listed:
  • Acuña, Guillermo
Abstract
This paper empirically analyzes the determinants of systemic risk using dynamic panel data regressions, because they allow controlling for unobserved heterogeneity and omitted variables, decreasing the bias in the coefficient estimates. Additionally, it analyzes the recurrence of high systemic risk events using a duration models approach, in which the time spent in a state of financial stability is probabilistically characterized, as well as the transition probability to an unstable state, in which systemic risk is high. Moreover, it suggests that the expected duration of financial stability can be used as a leading index for systemic risk.

Suggested Citation

  • Acuña, Guillermo, 2014. "Expected Duration as a Leading Index for Systemic Risk," MPRA Paper 76557, University Library of Munich, Germany, revised 02 Feb 2017.
    • Handle: RePEc:pra:mprapa:76557
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Systemic Risk; Dynamic Panel; Duration Models;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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