Macroeconomics of Systemic Risk: Transmission Channels and Technical Integration

The avenue to find a balanced assessment of systemic financial institutions needs the integration macro and micro granular datasets. This paper investigates how macroeconomic shocks affect risk through several transmission channels. Employing Indonesia datasets over 2008–2019, we regressed three market models: CoVaR, MES, SRISK using fixed effect, random GARCH(1,1), finite mixture models. findings show that stock beta, index, exchange rate volatility amplify while liquidity spread outcome varies due different model variables deepness country’s market. We propose practical framework samples technical capture overall endogenously externally expose systemically important institutions.