메뉴 건너뛰기




Volumn 25, Issue 10, 2012, Pages 3000-3036

Does systemic risk in the financial sector predict future economic downturns?

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84866718819     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhs094     Document Type: Review
Times cited : (329)

References (51)
  • 1
    • 0001543921 scopus 로고
    • The present value of profits and cyclical movements in investment
    • Abel, A. B., and O. J. Blanchard. 1986. The Present Value of Profits and Cyclical Movements in Investment. Econometrica 54:249-73.
    • (1986) Econometrica , vol.54 , pp. 249-273
    • Abel, A.B.1    O.J. Blanchard2
  • 4
    • 67049160684 scopus 로고    scopus 로고
    • Federal Reserve Bank of New York Staff Reports No 348 August
    • Adrian, T., and M. K. Brunnermeier. 2009. CoVaR. Federal Reserve Bank of New York Staff Reports, No. 348, August.
    • (2009) Covar
    • Adrian, T.1    M.K. Brunnermeier2
  • 5
    • 77955645818 scopus 로고    scopus 로고
    • Stock return predictability: Is it there
    • Ang, A., and G. Bekaert. 2007. Stock Return Predictability: Is It There? Review of Financial Studies 20:651-707.
    • (2007) Review of Financial Studies , vol.20 , pp. 651-707
    • Ang, A.1    G. Bekaert2
  • 8
    • 0141873472 scopus 로고    scopus 로고
    • An extreme value approach to estimating volatility and value at risk
    • DOI 10.1086/344669
    • Bali, T. G. 2003. An Extreme Value Approach to Estimating Volatility and Value at Risk. Journal of Business 76:83-108. - - - .2007.AGeneralized ExtremeValueApproach to Financial Risk Measurement. Journal of Money, Credit, and Banking 39:1611-47 - 2008. The Intertemporal Relation between Expected Returns and Risk. Journal of Financial Economics 87:101-31. (Pubitemid 36299531)
    • (2003) Journal Of Business -Chicago , vol.76 , Issue.1 , pp. 83-108
    • Bali, T.G.1
  • 9
    • 43249131506 scopus 로고    scopus 로고
    • Risk measurement performance of alternative distribution functions
    • Bali, T. G., and P. Theodossiou. 2008. Risk Measurement Performance of Alternative Distribution Functions. Journal of Risk and Insurance 75:411-37.
    • (2008) Journal of Risk and Insurance , vol.75 , pp. 411-437
    • Bali, T.G.1    P. Theodossiou2
  • 10
    • 77952675199 scopus 로고    scopus 로고
    • The intertemporal capital asset pricing model with dynamic conditional correlations
    • Bali, T. G., and R. F. Engle. 2010. The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations. Journal of Monetary Economics 57:377-90.
    • (2010) Journal of Monetary Economics , vol.57 , pp. 377-390
    • Bali, T.G.1    R.F. Engle2
  • 13
    • 0001114148 scopus 로고
    • Nonmonetary effects of the financial crisis in the propagation of the great depression
    • Bernanke, B. S. 1983. Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression. American Economic Review 73:257-76.
    • (1983) American Economic Review , vol.73 , pp. 257-276
    • Bernanke, B.S.1
  • 16
    • 77953868824 scopus 로고    scopus 로고
    • The real effects of financial constraints: Evidence from a financial crisis
    • Campello M., J. R. Grahamb, and C. R. Harvey. 2010. The Real Effects of Financial Constraints: Evidence from a Financial Crisis. Journal of Financial Economics 97:470-87.
    • (2010) Journal of Financial Economics , vol.97 , pp. 470-487
    • Campello, M.1    J.R. Grahamb2    C.R. Harvey3
  • 19
    • 0040424685 scopus 로고    scopus 로고
    • In C.A. E.Goodhard and G. Illing, eds., Financial Crisis, Contagion, and the Lender of Last Resort: A Book of Readings. London: Oxford University Press
    • DeBandt, O., and P. Hartmann. 2002. Systemic Risk:ASurvey. In C.A. E.Goodhard and G. Illing, eds., Financial Crisis, Contagion, and the Lender of Last Resort: A Book of Readings. London: Oxford University Press.
    • (2002) Systemic Risk:ASurvey
    • DeBandt, O.1    P. Hartmann2
  • 21
    • 77953806926 scopus 로고    scopus 로고
    • Costly external finance, corporate investment and the subprime mortgage credit crisis
    • Duchin, R., O. Ozbas, and B. A. Sensoy. 2010. Costly External Finance, Corporate Investment and the Subprime Mortgage Credit Crisis. Journal of Financial Economics 97:418-35.
    • (2010) Journal of Financial Economics , vol.97 , pp. 418-435
    • Duchin, R.1    O. Ozbas2    B.A. Sensoy3
  • 23
    • 0035998182 scopus 로고    scopus 로고
    • Dynamic conditional correlation:asimple class of multivariate generalized autoregressive conditional heteroscedasticity models
    • Engle, R. F. 2002. Dynamic Conditional Correlation:ASimple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models. Journal of Business and Economic Statistics 20:339-50.
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 339-350
    • Engle, R.F.1
  • 25
    • 84977737676 scopus 로고
    • Dynamic conditional correlation: The cross-section of expected stock returns
    • Fama, E. F., and K. R. French. 1992. Dynamic Conditional Correlation: The Cross-Section of Expected Stock Returns. Journal of Finance 46:427-66.
    • (1992) Journal of Finance , vol.46 , pp. 427-466
    • Fama, E.F.1    K.R. French2
  • 26
    • 0031626506 scopus 로고    scopus 로고
    • Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach
    • PII S0304405X97000378
    • Froot, K. A., and J. C. Stein. 1998. Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach. Journal of Financial Economics 47:55-82. (Pubitemid 128177546)
    • (1998) Journal of Financial Economics , vol.47 , Issue.1 , pp. 55-82
    • Froot, K.A.1    Stein, J.C.2
  • 28
    • 84866851217 scopus 로고    scopus 로고
    • New directions in financial sector and sovereign risk management
    • Gray, D., and A. A. Jobst. 2009. New Directions in Financial Sector and Sovereign Risk Management. Journal of Investment Management 8:22-38.
    • (2009) Journal of Investment Management , vol.8 , pp. 22-38
    • Gray, D.1    A.A. Jobst2
  • 30
    • 0001263124 scopus 로고
    • A simple generalapproach to inference about thetail of adistribution
    • Hill, B. M. 1975.ASimple GeneralApproach to Inference about theTail of aDistribution. Annals of Mathematical Statistics 3:1163-74.
    • (1975) Annals of Mathematical Statistics , vol.3 , pp. 1163-1174
    • Hill, B.M.1
  • 31
    • 0000789996 scopus 로고
    • Dividend yields and expected stock returns: Alternative procedures for inference and measurement
    • Hodrick, R. 1992. Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. Review of Financial Studies 5:357-86.
    • (1992) Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.1
  • 33
    • 84866673114 scopus 로고    scopus 로고
    • Macroeconomic effects of financial shocks.working paper
    • Series No. 15338
    • Jermann, U., and V. Quadrini. 2009. Macroeconomic Effects of Financial Shocks.Working Paper, NBER Series No. 15338.
    • (2009) NBER
    • Jermann, U.1    V. Quadrini2
  • 34
    • 67650669718 scopus 로고    scopus 로고
    • Hedge funds financial intermediation, and systemic risk
    • Federal Reserve Bank of New York
    • Kambhu, J., T. Schuermann, and K. J. Stiroh. 2007. Hedge Funds, Financial Intermediation, and Systemic Risk. Economic Policy Review, Federal Reserve Bank of New York 13:1-18.
    • (2007) Economic Policy Review , vol.13 , pp. 1-18
    • Kambhu, J.1    Schuermann, T.2    Stiroh, K.J.3
  • 35
    • 0000289297 scopus 로고    scopus 로고
    • What do a million observations on banks say about the transmission of monetary policy
    • Kashyap, A. K., and J. C. Stein. 2000. What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? American Economic Review 90:407-28.
    • (2000) American Economic Review , vol.90 , pp. 407-428
    • Kashyap, A.K.1    J.C. Stein2
  • 36
    • 0002135003 scopus 로고    scopus 로고
    • Monetary policy and credit conditions: Evidence from the composition of external finance
    • Kashyap, A. K., J. C. Stein, and D. W. Wilcox. 2000. Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance. American Economic Review 83:78-98.
    • (2000) American Economic Review , vol.83 , pp. 78-98
    • Kashyap, A.K.1    J.C. Stein2    D.W. Wilcox3
  • 40
    • 78649482018 scopus 로고    scopus 로고
    • The response of corporate financing and investment to changes in the supply of credit
    • Lemmon, M., and M. R. Roberts. 2010. The Response of Corporate Financing and Investment to Changes in the Supply of Credit. Journal of Financial and Quantitative Analysis 45:555-87.
    • (2010) Journal of Financial and Quantitative Analysis , vol.45 , pp. 555-587
    • Lemmon, M.1    M.R. Roberts2
  • 41
    • 0003114587 scopus 로고
    • The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets
    • Lintner, J. 1965. The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics 47:13-37.
    • (1965) Review of Economics and Statistics , vol.47 , pp. 13-37
    • Lintner, J.1
  • 42
    • 77953812917 scopus 로고    scopus 로고
    • The subprime credit crisis and contagion in financial markets
    • Longstaff, F. A. 2010. The Subprime Credit Crisis and Contagion in Financial Markets. Journal of Financial Economics 97:436-50.
    • (2010) Journal of Financial Economics , vol.97 , pp. 436-450
    • Longstaff, F.A.1
  • 43
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R. C. 1973. An intertemporal Capital Asset Pricing Model. Econometrica 41:867-87.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 44
    • 0000706085 scopus 로고
    • A simple, positive-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K., and K. D. West. 1987. A Simple, Positive-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55:703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    K.D. West2
  • 45
    • 0002846420 scopus 로고    scopus 로고
    • Collateral damage: Effects of the japanese bank crisis on real activity in the united states
    • Peek, J., and E. Rosengren. 2000. Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States. American Economic Review 90:30-45.
    • (2000) American Economic Review , vol.90 , pp. 30-45
    • Peek, J.1    Rosengren, E.2
  • 46
    • 0001075431 scopus 로고
    • Statistical inference using extreme order statistics
    • Pickands, J. I. 1975. Statistical Inference Using Extreme Order Statistics. Annals of Statistics 3:119-31.
    • (1975) Annals of Statistics , vol.3 , pp. 119-131
    • Pickands, J.I.1
  • 47
    • 84980092818 scopus 로고
    • Capital asset prices:Atheory of market equilibrium under conditions of risk
    • Sharpe,W. F. 1964. Capital Asset Prices:ATheory of Market Equilibrium under Conditions of Risk. Journal of Finance 19:425-42.
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.F.1
  • 49
    • 0010960285 scopus 로고    scopus 로고
    • The delisting bias in crsp data
    • Shumway, T. 2010. The Delisting Bias in CRSP Data. Journal of Finance 52:327-40.
    • (2010) Journal of Finance , vol.52 , pp. 327-340
    • Shumway, T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.