Changes in Cross-Correlations as an Indicator for Systemic Risk
نویسندگان
چکیده
The 2008-2012 global financial crisis began with the global recession in December 2007 and exacerbated in September 2008, during which the U.S. stock markets lost 20% of value from its October 11 2007 peak. Various studies reported that financial crisis are associated with increase in both cross-correlations among stocks and stock indices and the level of systemic risk. In this paper, we study 10 different Dow Jones economic sector indexes, and applying principle component analysis (PCA) we demonstrate that the rate of increase in principle components with short 12-month time windows can be effectively used as an indicator of systemic risk--the larger the change of PC1, the higher the increase of systemic risk. Clearly, the higher the level of systemic risk, the more likely a financial crisis would occur in the near future.
منابع مشابه
Volatility Spillover among Industries in the Capital Market in Iran
Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically im...
متن کاملBiochemical changes of Conocarpus erectus (combretaceae) in response to gas refinery air pollution as an air pollution indicator
Environmental pollution consists of different types of pollutants in air, soil, and water. Due to the fact that plants can respond to environmental pollution, they can be used as bio-indicators for environmental monitoring. Air pollution in areas with oil and gas refineries nearby is an important problem. This study aims to survey the effects of gas refinery air pollutants on Conocarpus erectus...
متن کاملInvestigating the Correlation of Selected Banks with Dynamic Conditional Correlation (DCC) Model and Identifying Systemically Important Banks with Conditional Value at Risk and Shapley Value Method
Systemic risk arises from simultaneous movement or correlations between market segments; Thus, systemic risk occurs when there is a high correlation between the risks and crises of different market segments or institutions operating in the economy, or when the risks of different segments in a market segment or a country are related to other segments and other countries. This paper presents a me...
متن کاملLevels of C-reactive protein, creatine kinase-muscle and aldolase A are suitable biomarkers to detect the risk factors for osteoarthritic disorders: A novel diagnostic protocol
Background: C-reactive protein (CRP), creatine kinase-muscle (CK-MM) and aldolase A (AldoA) levels are predicted to be realistic biomarkers of osteoarthritic disorders (OADs). The objective of the study was to evaluate the levels of CRP, CK-MM, and AldoA and determine their correlations with risk factors such as inflammation, muscle degeneration, and skeletal muscle damage for OADs. Methods: B...
متن کامل* Corresponding Author Email Address: [email protected] International Journal of Railway Research The Safety Level of Railway Infrastructure and Its Correlation with the Cost of Preventive and Mitigation Measures A-M. Ioannidou 1 , C. Pyrgidis 2,* 1 Hellenic Institute of Transport (HIT)-CERTH, Greece 2 Aristotle University of Thessaloniki, Greece A B S ...
متن کامل