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Surfing through the GFC : systemic risk in Australia

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Dungey, M and Matei, M and Luciani, M and Veredas, D (2015) Surfing through the GFC : systemic risk in Australia. Discussion Paper. University of Tasmania. (Submitted)

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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.

Item Type: Report (Discussion Paper)
Keywords: banking, insurance, systemic risk
Publisher: University of Tasmania
Date Deposited: 14 Jan 2016 22:15
Last Modified: 15 Jan 2016 00:37
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