TY - JOUR
T1 - Macroeconomics of systemic risk : transmission channels and technical integration
AU - Rizan, Mohamad
AU - Salim, Muhammad Zulkifli
AU - Mukhtar, Saparuddin
AU - Daly, Kevin
PY - 2022
Y1 - 2022
N2 - The avenue to find a balanced assessment of systemic financial institutions needs the integration of macro and micro granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels. Employing Indonesia datasets over 2008–2019, we regressed three market models: CoVaR, MES, and SRISK using fixed effect, random effect, GARCH(1,1), and finite mixture models. The findings show that stock beta, market index, and exchange rate volatility amplify the systemic risk while the liquidity spread outcome varies due to different of model variables and the deepness of the country’s financial market. We propose a practical systemic risk assessment framework and samples of technical integration to capture the overall risk endogenously and externally expose the systemically important financial institutions.
AB - The avenue to find a balanced assessment of systemic financial institutions needs the integration of macro and micro granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels. Employing Indonesia datasets over 2008–2019, we regressed three market models: CoVaR, MES, and SRISK using fixed effect, random effect, GARCH(1,1), and finite mixture models. The findings show that stock beta, market index, and exchange rate volatility amplify the systemic risk while the liquidity spread outcome varies due to different of model variables and the deepness of the country’s financial market. We propose a practical systemic risk assessment framework and samples of technical integration to capture the overall risk endogenously and externally expose the systemically important financial institutions.
UR - http://hdl.handle.net/1959.7/uws:67704
U2 - 10.3390/risks10090174
DO - 10.3390/risks10090174
M3 - Article
SN - 2227-9091
VL - 10
JO - Risks
JF - Risks
IS - 9
M1 - 174
ER -