Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19

被引:0
作者
Usman, Muhammad [1 ]
Umar, Zaghum [2 ,5 ]
Choi, Sun-Yong [3 ]
Teplova, Tamara [4 ]
机构
[1] COMSATS Univ Islamabad, Dept Management Sci, Lahore Campus, Lahore, Pakistan
[2] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates
[3] Gachon Univ, Dept Financial Math, Seongnam 13120, South Korea
[4] HSE Univ, Moscow, Russia
[5] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon
基金
新加坡国家研究基金会;
关键词
Financial sector systemic risk; Endogenous and Exogenous Shock; Copula-CoVaR; 2008 global financial crisis; COVID-19; pandemic; MULTIVARIATE GARCH ESTIMATION; BANKING SECTOR; INSURANCE; CONNECTEDNESS;
D O I
10.1016/j.qref.2024.02.004
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this study, we use segregated endogenous and exogenous shocks to large banks' returns to compare the effect of each on financial sector systemic risk. We use the copula-CoVaR methodology and GARCH (1,1) with timevarying moments to model the marginal distribution function and bivariate probability distribution of the tail returns. We find that endogenous risk dominates exogenous risk in the financial system. A comparison of the 2008 global financial crisis and COVID-19 reveals that the crisis aggravates only as exogenous shocks to the system persist. Additionally, we find that large banks reduce the total risk of the system in normal times but increase the risk of the financial system in crisis times. Our findings have important implications for policymakers, investors, and portfolio managers.
引用
收藏
页码:281 / 293
页数:13
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