Determinants of systemic risk and information dissemination

Marcelo Bianconi, Xiaxin Hua and Chih Ming Tan

International Review of Economics & Finance, 2015, vol. 38, issue C, 352-368

Abstract: We introduce a measure of information dissemination for the determination of systemic risk, print-media consumer pessimism, controlling for VIX volatility. VIX volatility has a significant direct impact upon systemic risk of financial firms under distress, and consumer pessimism does impact upon firm's financial stress via the externality of other firm's financial stress. In the internet bubble of the 1990s, pessimism predicts larger systemic risk in the whole period of exuberance while the VIX predicts a sharp larger systemic risk in the height of the bubble. Our evidence suggests that consumer pessimism might be dominated by the VIX when predicting systemic risk.

Keywords: Conditional value-at-risk; VIX; Externality; Consumer pessimism (search for similar items in EconPapers)
JEL-codes: G00 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (10)

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Working Paper: Determinants of Systemic Risk and Information Dissemination (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:38:y:2015:i:c:p:352-368

DOI: 10.1016/j.iref.2015.03.010

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