Extending the forward systemic risk measure: Do sector level variables matter?

Systemic risk is of concern for economic welfare as systemic financial crisis has the potential to inefficiently lower the supply of credit to the nonfinancial sector. Conventional systemic risk measures are parsimonious in nature and are used to assess the current systemic risk contributions of fin...

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Autores principales:	Hasan Hanif, Muhammad Naveed, Mobeen Ur Rehman
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2020
Materias:	∆covar forward ∆covar munificence dynamism concentration Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/e28cce209c3c4862ba6cfcef109f2146
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spelling	oai:doaj.org-article:e28cce209c3c4862ba6cfcef109f21462021-12-02T17:01:05ZExtending the forward systemic risk measure: Do sector level variables matter?2331-197510.1080/23311975.2020.1809944https://doaj.org/article/e28cce209c3c4862ba6cfcef109f21462020-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2020.1809944https://doaj.org/toc/2331-1975Systemic risk is of concern for economic welfare as systemic financial crisis has the potential to inefficiently lower the supply of credit to the nonfinancial sector. Conventional systemic risk measures are parsimonious in nature and are used to assess the current systemic risk contributions of financial institutions and does not highlight future systemic risk. In order to overcome the limitations of conventional systemic risk, $$\Delta {\rm{CoVa}}{{\rm{R}}^\$ }$$ is used predict future systemic risk and the literature outlines the use of firm and state level variables in the computation. This study contributes to the existing body of knowledge by providing empirical evidence on improved computation of forward systemic risk by corroborating the distinctive impact of sector’s nature: munificence, dynamism and level of concentration. The comparison of conventional and proposed forward CoVaR provides interesting insights into the role of sector level variables in the buildup of systemic risk. The results highlight that the forecasting ability of forward ∆CoVaR predicted with sector level variables is reasonably higher than that of predicted without sector level variables. The study provides guidelines to the policy makers by providing an improved measure of future systemic risk that can that can help to avoid procycality pitfall by introducing countercyclical policies before the happening of systemic event. The results present new insights on the drivers of financial instability and provide implications for the micro- and macroprudential regulations of the banks.Hasan HanifMuhammad NaveedMobeen Ur RehmanTaylor & Francis Grouparticle∆covarforward ∆covarmunificencedynamismconcentrationBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 7, Iss 1 (2020)
institution	DOAJ
collection	DOAJ
language	EN
topic	∆covar forward ∆covar munificence dynamism concentration Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	∆covar forward ∆covar munificence dynamism concentration Business HF5001-6182 Management. Industrial management HD28-70 Hasan Hanif Muhammad Naveed Mobeen Ur Rehman Extending the forward systemic risk measure: Do sector level variables matter?
description	Systemic risk is of concern for economic welfare as systemic financial crisis has the potential to inefficiently lower the supply of credit to the nonfinancial sector. Conventional systemic risk measures are parsimonious in nature and are used to assess the current systemic risk contributions of financial institutions and does not highlight future systemic risk. In order to overcome the limitations of conventional systemic risk, $$\Delta {\rm{CoVa}}{{\rm{R}}^\$ }$$ is used predict future systemic risk and the literature outlines the use of firm and state level variables in the computation. This study contributes to the existing body of knowledge by providing empirical evidence on improved computation of forward systemic risk by corroborating the distinctive impact of sector’s nature: munificence, dynamism and level of concentration. The comparison of conventional and proposed forward CoVaR provides interesting insights into the role of sector level variables in the buildup of systemic risk. The results highlight that the forecasting ability of forward ∆CoVaR predicted with sector level variables is reasonably higher than that of predicted without sector level variables. The study provides guidelines to the policy makers by providing an improved measure of future systemic risk that can that can help to avoid procycality pitfall by introducing countercyclical policies before the happening of systemic event. The results present new insights on the drivers of financial instability and provide implications for the micro- and macroprudential regulations of the banks.
format	article
author	Hasan Hanif Muhammad Naveed Mobeen Ur Rehman
author_facet	Hasan Hanif Muhammad Naveed Mobeen Ur Rehman
author_sort	Hasan Hanif
title	Extending the forward systemic risk measure: Do sector level variables matter?
title_short	Extending the forward systemic risk measure: Do sector level variables matter?
title_full	Extending the forward systemic risk measure: Do sector level variables matter?
title_fullStr	Extending the forward systemic risk measure: Do sector level variables matter?
title_full_unstemmed	Extending the forward systemic risk measure: Do sector level variables matter?
title_sort	extending the forward systemic risk measure: do sector level variables matter?
publisher	Taylor & Francis Group
publishDate	2020
url	https://doaj.org/article/e28cce209c3c4862ba6cfcef109f2146
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Extending the forward systemic risk measure: Do sector level variables matter?

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