 On the ranking consistency of systemic risk measures: empirical evidence*Michael Abendschein and Peter Grundke The European Journal of Finance, 2022, vol. 28, issue 3, 261-290 Abstract: We empirically analyze the extent to which popular systemic risk measures (SRMs) yield comparable results regarding the systemic importance of a financial institution. More important, we also examine determinants of the degree of consistency in the classification according to the various SRMs. In general, rank correlations tend to be more associated with macroeconomic variables such as the unemployment rate than with bank-individual variables. Our results also reveal that rank correlations are particularly sensitive to the overall market conditions. During more volatile market phases, rank correlations are slightly larger than during less volatile phases. Furthermore, their association with bank-individual and macroeconomic variables changes with the market conditions. The less volatile the market, the more relevant the bank-individual variables become in explaining the rank correlations. Contrary, during less volatile market phases, the relevance of macroeconomic variables decreases. Overall, the analyses reveal a difficulty in detecting specific explanatory factors for the consistency in systemic risk rankings across settings. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:28:y:2022:i:3:p:261-290 Ordering information: This journal article can be ordered from DOI: 10.1080/1351847X.2021.1946413 Access Statistics for this article The European Journal of Finance is currently edited by Chris Adcock More articles in The European Journal of Finance from Taylor & Francis Journals |
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