Measuring systemic risk in the U.S. Banking system
James W. Kolari,
Félix López-Iturriaga () and
Ivan Pastor Sanz
Economic Modelling, 2020, vol. 91, issue C, 646-658
•A novel measure of systemic risk using mapping and regression methods is proposed.•Default probabilities for U.S. banks are aggregated into a single macro measure.•Our measure has predictive power to detect systemic volatility prior to the 2008–09 crisis.•According to our measure, systemic risk returned to normal levels by 2012.•Micro- and macro-prudential measures are useful in assessing systemic risk.
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:91:y:2020:i:c:p:646-658
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