Surfing through the GFC: systemic risk in Australia

Mardi Dungey, Matteo Luciani, Marius Matei and David Veredas
Additional contact information
David Veredas: ECARES, Universite libre de Bruxelles

No 2015-01, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: We provide empirical evidence on the degree of systemic risk in Australia before, during and after the Global Financial Crisis. We calculate a daily index of systemic risk from 2004 to 2013 in order to understand how real economy firms influence the outcomes for the rest of the economy. This is done via a mapping of the interconnectedness of the financial and non-financial sectors. The financial sector is in general the home to the most consistently systemically risky firms in the economy. The mining sector becomes occasionally as systemically risky as the financial sector, reflecting the importance of understanding the interrelationships between the financial sector and the real economy in monitoring systemic risks.

Keywords: banking; insurance; systemic risk (search for similar items in EconPapers)
JEL-codes: G01 G21 G22 G28 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2015-04-22
New Economics Papers: this item is included in nep-ban, nep-ias and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published by the University of Tasmania. Discussion paper 2015-01

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Journal Article: Surfing through the GFC: Systemic Risk in Australia (2017)
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