 Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging EconomyNandita Bhattacharjee and Ambika Pati South Asian Journal of Macroeconomics and Public Finance, 2023, vol. 12, issue 2, 186-217 Abstract: The development of shadow banks, their exaggerated growth rate and the activities outside the regulatory purview gained prominence. Their activities have the ability to disrupt financial stability. India is one of the countries that has registered the highest growth rate. Therefore, the article attempts to identify the SBs that can threaten the economy by applying market-based measures, applying both traditional and modern approaches. The analysis is based on 11 years of the daily stock return of the companies listed on the National Stock Exchange. The risk emitters in the study period are identified along with the directionality of the risk that can lead to a spill over effect in an economy. Also, the various measurement approaches applied in the study are compared and found that conventional measures underestimate the risk that adds up to the leverage and can pose a greater risk in times of the systemic event. These findings have better implications as informed decisions can be taken by the investors, and the regulators can take preventive steps to curb financial instability. JEL Classification: G230, F650, G01 Keywords: Financial crisis; risk measurement; shadow banks; systemic risk (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:smppub:v:12:y:2023:i:2:p:186-217 DOI: 10.1177/22779787221107716 Access Statistics for this article More articles in South Asian Journal of Macroeconomics and Public Finance |
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