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Banking x Econometric and Statistical Methods and Methodology: General x Single Equation Models; Single Variables x clear all

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Linda Allen, Turan G. Bali and Yi Tang.

in The Review of Financial Studies

October 2012; p ublished online September 2012 .

Journal Article. Subjects: Economics; Banking; Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables. 16037 words.

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future...