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Systemic Risk and Financial Consolidation
Mr.Gianni De NicoloMr.Myron L. Kwast
其他書名
Are they Related?
出版International Monetary Fund, 2002-03-01
主題Business & Economics / Finance / GeneralBusiness & Economics / Investments & Securities / StocksBusiness & Economics / Banks & Banking
ISBN14518476379781451847635
URLhttp://books.google.com.hk/books?id=9FoH0AEACAAJ&hl=&source=gbs_api
註釋We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99. This finding suggests that the systemic risk potential in the financial sector may have increased. In addition, we find a positive consolidation elasticity of correlations. However, such elasticity exhibits substantial time variation and likely declined in the latter part of the decade. Thus, factors other than consolidation have also been responsible for the upward trend in return correlations.