w20963_Systemic Risk and the Macroeconomy-An Empirical Evaluation.pdf-经管之家资源下载-人大经济论坛


所在主题： NBER：Systemic Risk and the Macroeconomy
文件名: w20963_Systemic Risk and the Macroeconomy-An Empirical Evaluation.pdf
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This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and prove their consistency in a factor model setting. Empirically, systemic risk indexes provide significant predictive information out- of-sample for the lower tail of future macroeconomic shocks.
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