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Tytuł:
Indywidualizacja źródeł ryzyka systemowego w krajach europejskich
Autorzy:
Karkowska, Renata
Powiązania:
https://bibliotekanauki.pl/articles/629961.pdf
Data publikacji:
2015
Wydawca:
Szkoła Główna Handlowa w Warszawie
Tematy:
systemic risk, banking, leverage, emerging markets
Opis:
While contemporary systemic risk takes many forms, usually all kinds of wellknown risks overlap in time and space. Considering leverage undertaken by banksas a potential source of systemic risk, the author attempts to discover the factorsintensifying this phenomenon. The article presents the results of a study on datafrom individual banks in 31 European states for the period 2000–2010. The primaryobjective of this study is to verify the diversification of sources of systemicrisk in the banking sectors of developing and developed countries. Evidence ofheterogeneity of systematic risk’s determinants in European countries is provided.
Źródło:
Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace; 2015, 3, 1; 151-163
2082-0976
Pojawia się w:
Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
WHAT KIND OF SYSTEMIC RISKS DO WE FACE IN THE EUROPEAN BANKING SECTOR? THE APPROACH OF CoVaR MEASURE
Autorzy:
Karkowska, Renata
Powiązania:
https://bibliotekanauki.pl/articles/482943.pdf
Data publikacji:
2015
Wydawca:
Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:
Systemic Risk
Value at Risk
Risk Spillovers
Banking Sector
Opis:
We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk (CoVaR) for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contribution systemic risk of the bank i in the analyzed banking sector of a country in conditions of its insolvency. The study included commercial banks from 8 emerging markets from Europe, which gave a total of 40 banks, traded on the public market, which provided a market valuation of the bank's capital. The conclusions are that the CoVaR seems to be a better measure for systemic risk in the banking sector than the VaR, which is more individual. And banks in developing countries in Europe do not provide significant risk for the banking sector as a whole. But it must be taken into account that some individuals that may find objectionable. Our results hence tend to a practical use of the CoVaR for supervisory purposes.
Źródło:
Faculty of Management Working Paper Series; 2015, WPS 1/2015; 1-15
2300-4371
Pojawia się w:
Faculty of Management Working Paper Series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
MIDAS models in banking sector – systemic risk comparison
Autorzy:
Gurgul, H.
Mestel, R.
Syrek, R.
Powiązania:
https://bibliotekanauki.pl/articles/1201240.pdf
Data publikacji:
2017
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
systemic risk measures
GARCH-MIDAS
DCC-MIDAS
Opis:
This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in modelling conditional volatilities. The long-run component is modeled using realized volatility. The conditional correlation, second step of modelling, is described with DCC-MIDAS model. This is novel approach in respect to classical TARCH and DCC modelling. Whereas the information contained in macroeconomic variables, if available, can help to predict short and long-term components, this is the promising option in improvement of systemic risk assessment.
Źródło:
Managerial Economics; 2017, 18, 2; 165-181
1898-1143
Pojawia się w:
Managerial Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Diagnostics of systemic risk impact on the enterprise capacity for financial risk neutralization: the case of Ukrainian metallurgical enterprises
Autorzy:
Kolupaieva, Irina
Pustovhar, Svitlana
Suprun, Oleg
Shevchenko, Olena
Powiązania:
https://bibliotekanauki.pl/articles/19090958.pdf
Data publikacji:
2019
Wydawca:
Instytut Badań Gospodarczych
Tematy:
enterprise financial risk
financial risk neutralization
enterprise insolvency
systemic risk
Opis:
Research background: A significant share of Ukrainian enterprises in modern conditions is accompanied by unprofitability of their activity. On the back of Ukrainian enterprises unprofitability, there is a problem of methodical provision of financial risk management, which lies in the fact that a major part of scientistific works in this area focus on the study of internal factors and indicators of financial risk. At the same time, the system risk is levelled out. Purpose of the article: The aim of the study is the improvement of enterprises' financial risk management tools based on the assessment of the company's ability to neutralize financial risk taking into account system risk effects. Methods: The methodological apparatus includes: The "weight center" method; expert appraisal method; multidimensional factor analysis method; neural network apparatus. Findings & Value added: As a result of the study, an approach to assessing the impact of system risk on the ability of an enterprise to neutralize financial risk is developed. The expert evaluation method is based on an integrated model that allows for estimation of the ability of metallurgical enterprises to neutralize financial risks. The system risk factors, namely the factor of commodity markets state, the political and demographic, fiscal, monetary factors as well as the factor of the external balance financial estimates, were determined. By constructing a neural network, elasticity of enterprises' ability to neutralize financial risk in relation to systemic risk factors was calculated. The proposed approach allows for conducting preventive financial risk diagnostics on the basis of assessing the current financial status and the ability to neutralize financial risk in an open economic system - taking into account the system risk impact.
Źródło:
Oeconomia Copernicana; 2019, 10, 3; 471-491
2083-1277
Pojawia się w:
Oeconomia Copernicana
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
OPORTUNIZM PODMIOTÓW I INSTYTUCJI JAKO STYMULATOR RYZYKA SYSTEMOWEGO
Opportunism of entities and institutions as a systemic risk stimulator
Autorzy:
Szewc-Rogalska, Alina
Powiązania:
https://bibliotekanauki.pl/articles/950655.pdf
Data publikacji:
2015
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
opportunism
moral hazard
crisis of trust
systemic risk
Opis:
This study aims to analyze the interrelation between the opportunism of entities and institutions and the systemic risk growth. The applied research method involves, inter alia, the investigation of the essence and types of opportunism, the analysis of the credit risk transfer, the identification of the moral hazard and systemic risk stimulators. Moreover, ways to reduce opportunism and its negative follow-ups have been presented. It has been indicated that the moral hazard applied by major financial institutions leads to a crisis of trust. It translates into the growth of a systemic risk. The quality of the institutional environment needs to be enhanced. The mechanisms and instruments that should enforce bearing the consequences of their actions and limit excessively-risky behaviours are recommended.
Źródło:
Financial Sciences. Nauki o Finansach; 2015, 1(22); 91-100
2080-5993
2449-9811
Pojawia się w:
Financial Sciences. Nauki o Finansach
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide
Autorzy:
Lv, Shengnan
Xu, Zeshui
Fan, Xuecheng
Qin, Yong
Skare, Marinko
Powiązania:
https://bibliotekanauki.pl/articles/22443105.pdf
Data publikacji:
2023
Wydawca:
Instytut Badań Gospodarczych
Tematy:
financial cycles
financial connectedness
financial crisis
systemic risk
Opis:
Research background: The globalization trend has inevitably enhanced the connectivity of global financial markets, making the cyclicality of financial activities and the spread of market imbalances have received widespread attention, especially after the global financial crisis. Purpose of the article: To reduce the negative effects of the contagiousness of the financial cycles, it is necessary to study the persistence of financial cycles and carve out the total connectedness, spillover paths, and sources of risks on a global scale. In addition, understanding the relationship between the financial cycle and economic development is an important way to prevent financial crises. Methods: This paper adopts the nonlinear smoothing transition autoregressive (STAR) model to extract cyclical and phase characteristics of financial cycles based on 24 countries during 1971Q1?2015Q4, covering developed and developing countries, the Americas, Europe, and Asia regions. In addition, the frequency connectedness approach is used to measure the connectedness of financial cycles and the relationship between the global financial cycle and the global economy. Findings & value added: The analysis reveals that aggregate financial cycles persist for 13.3 years for smoothed and 8.7 years for unsmoothed on average. The national financial cycles are asynchronous and exhibit more prolonged expansions and faster contractions. The connectedness of financial cycles is highly correlated with systemic crises and contributes to the persistence and harmfulness of shocks. It is mainly driven by short-term components and exhibits more pronounced interconnectedness within regions than across regions. During the financial crisis, the global financial cycle movements precede and are longer than the business fluctuations. Based on the study, some policy implications are presented. This paper emphasizes the impact of systemic crises on the persistence of financial cycles and their connectedness, which contributes to refining research related to the coping mechanisms of financial crises.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2023, 18, 1; 11-47
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A dynamic MST-deltaCoVaR model of systemic risk in the European insurance sector
Autorzy:
Denkowska, Anna
Wanat, Stanisław
Powiązania:
https://bibliotekanauki.pl/articles/1054560.pdf
Data publikacji:
2021-06-04
Wydawca:
Główny Urząd Statystyczny
Tematy:
systemic risk
minimum spanning trees
deltaCoVaR
insurance sector
Opis:
This work is a response to the EIOPA paper entitled 'Systemic risk and macroprudential policy in insurance', which asserts that in order to evaluate the potential systemic risk (SR), the build-up of risk, especially risk arising over time, should be taken into account, as well as the interlinkages occurring in the financial sector and the whole economy. The topological indices of minimum spanning trees (MST) and the deltaCoVaR measure are the main tools used to analyse the systemic risk dynamics in the European insurance sector in the years 2005-2019. The article analyses the contribution of each of the 28 largest European insurance companies, including those appearing on the G-SIIs list, to systemic risk. Moreover, the paper aims to determine whether the most important contribution to systemic risk is made by companies with the highest betweenness centrality or the highest degree in the obtained MST.
Źródło:
Statistics in Transition new series; 2021, 22, 2; 173-188
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Mikro- i makroostrożnościowa polityka nadzorcza względem sektora bankowego – potencjalne obszary konfliktów i sposoby ich minimalizacji
Autorzy:
Zygierewicz, Mariusz
Powiązania:
https://bibliotekanauki.pl/articles/610561.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
supervisory policy
systemic risk
polityka nadzorcza
ryzyko systemowe
Opis:
The consequences of last crisis on financial market is the promotion of the macroprudential policy as new approach in regulatory policy on the financial sector. The main ideas of goal, tasks and instruments of macroprudential policy were presented in the article. They were confronted with the goal, tasks and instruments of microprudential supervisory policy. This comparison indicates the existence of general goal of macroprudential policy but there are also some problems concerning the detailed tasks of this policy. This result causes the further problem with identification of many instruments which should be belong to the marcoprudential policy only. Lack of detailed tasks of macroprudential policy and similar instruments used by micro- and macroprudential policy may generate some tension in supervisory policy and diminish the safety of financial sector and the trust its clients. We recommend to implement the new supervisory policy on step by step basis, collecting all the time the necessary experience and to take the decision later if the institutional separation of macroprudential policy is really reasonable or it is better to divide the tasks of this policy between microprudential policy and central bank activity.
Jednym z głównych wniosków wyciągniętych z doświadczeń ostatniego kryzysu na rynkach finansowych na świecie był postulat wprowadzenia polityki makroostrożnościowej. W artykule pzedstawiono najważniejsze cele, zaadania i instrumenty tej polityki oraz skonfrontowano je z dotychczasową polityką mikroostrożnościową. Brak szczegółówego określenia zadań polityki makroostrożnościowej i podobieństwo wielu potencjalnych jej instrumentów do narzędzi polityki mikroostrożnościowej może prowadzić do potencjalnych konfliktów w zakresie stosowania obu polityk. Pojawienie się takich konfliktów może prowadzić do obniżenia bezpieczeństwa sektora finansowego i zaufania jego klientów. Dostrzegając te zagrożenia, rekomendujemy stopniowe wdrażanie nowej polityki, gromadzenie niezbędnych doświadczeń w tym zakresie i odsunięcie w czasie decyzji o ewentualnym instytucjonalnym wyodrębnieniu polityki makroostrożnościowej zamiast jej podziału między kompetencje polityki mikroostrożnościowej i zadania banku centralnego.
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2016, 50, 3
0459-9586
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Systemowe ryzyko płynności w polskim systemie bankowym - wybrane aspekty
Autorzy:
Kochański, Błażej
Powiązania:
https://bibliotekanauki.pl/articles/610826.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
systemic risk
liquidity risk
banks
ryzyko systemowe
ryzyko płynności
banki
Opis:
Systemic liquidity risk is the risk that an adverse event will result in simultaneous liquidity problems in a  substantial portion of the financial system. The paper describes several aspects of this risk in the Polish banking environment: decreasing share of liquid assets in the balance sheet, growing maturity mismatch, risks related to foreign currency denominated loans financed through złoty deposits accompanied by FX and currency swaps or through external liabilities. Dependence on currency derivatives and foreign financing contributed to increased liquidity tensions in the financial crisis, including relative increase in customer deposit interest rates. The paper also presents the scale of liquidity support granted during the crisis by the central bank to banks operating in Poland.
Artykuł nie zawiera abstraktu w języku polskim
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2013, 47, 3
0459-9586
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ ustanowienia G-SIIs na funkcjonowanie sektora ubezpieczeniowego – wybrane aspekty
Autorzy:
Kurek, Robert
Powiązania:
https://bibliotekanauki.pl/articles/610181.pdf
Data publikacji:
2015
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
insurance
supervisory authority
systemic risk
ubezpieczenia
nadzór
ryzyko systemowe
Opis:
The study characterizes the initiative providing for the special supervision mode over the insurance firms creating systemic risk – G-SIIs and the selected aspects of this initiative potential impact on the insurance market. The discussed potential impact was presented in the system of positive and negative influence on supervision institutions and insurance firms. The conclusion emphasizes that the solutions dedicated to a small number of insurance companies can have an indirect impact on the global insurance market functioning.
W opracowaniu została dokonana ogólna charakterystyka założeń inicjatywy przewidującej specjalny tryb nadzoru nad zakładami ubezpieczeń kreującymi ryzyko systemowe – G-SIIs oraz wybrane aspekty potencjalnego wpływu tej inicjatywy na rynek ubezpieczeniowy. Potencjalny wpływ został przedstawiony w układzie pozytywnego i negatywnego oddziaływania na instytucje nadzorujące i zakłady ubezpieczeń. W konkluzji należy podkreślić, że rozwiązania przewidziane dla niewielkiej liczby zakładów ubezpieczeń mogą pośrednio wpłynąć na funkcjonowanie globalnego rynku ubezpieczeniowego.
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2015, 49, 4
0459-9586
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Kryzys lat 2007–2009 i luka informacyjna w sektorze finansowym
The Crisis of 2007–2009 and Information Gaps in the Financial Sector
Autorzy:
Siwiński, Włodzimierz
Powiązania:
https://bibliotekanauki.pl/articles/957025.pdf
Data publikacji:
2013-06-15
Wydawca:
Akademia Leona Koźmińskiego w Warszawie
Tematy:
financial crisis
financial liquidity
systemic risk
financial information gaps
Opis:
Purpose: The paper aims at identifying the major information gaps related to the financial sector that have emerged during the last years, including the explanation of the reasons and consequences of these gaps. Methodology: The analysis is conducted using the descriptive methodology based on real developments in the financial sector. This analysis identifies substantial institutional changes within the financial sector combined with the introduction of new financial instruments that significantly increased information gaps related to financial developments. Findings: We found that one of the main reasons for the breakdown in the financial liquidity market was the sudden buildup of a systemic risk caused, among other things, by substantial information gaps and limitations in the transparency of financial markets. The low transparency of the financial markets has been caused by institutional changes and new financial instruments introduced within the financial sector. They were introduced by the financial institutions themselves to facilitate very risky financial activities that were very profitable for them in the short term, but – as it occurred – very disruptive for the whole financial system and the whole economy in the longer term. Research limitations: The analysis is limited only to the consideration of the causes and consequences of statistical gaps substantially reducing the transparency of the financial sector. A more comprehensive project should also explore and provide an appropriate proposal for remedy data and – even more important – a proposal to set up a macroprudential policy framework. Originality: The original contribution of the paper is the link between specific institutional changes within the financial sector as well as new financial instruments and the emergence of particular information gaps.
Źródło:
Management and Business Administration. Central Europe; 2013, 21, 2(121); 6-22
2084-3356
Pojawia się w:
Management and Business Administration. Central Europe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Globalne banki systemowo istotne i ich znaczenie dla polskiego sektora finansowego
Global Systemically Important Banks and Their Significance for the Polish Financial Sector
Autorzy:
Parchimowicz, Katarzyna
Powiązania:
https://bibliotekanauki.pl/articles/2033969.pdf
Data publikacji:
2021-11-05
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
global systemically important banks
Polish financial sector
systemic risk
Opis:
The purpose of the article: The aim of this paper is to demonstrate relevance of global systemically important banks (G-SIBs) in the context of Polish financial sector. This aspect is often overlooked, as there are no G-SIBs based in Poland. Methodology: Abovementioned aim is fulfilled by aims of providing an overview of the international characteristics and regulation of G-SIBs, describing the interrelations between these entities and institutions operating in the Polish market, and by showing how these connections can change the financial sector in Poland both directly and indirectly. The analysis is based on international standards on G-SIBs published by the Financial Stability Board and the Basel Committee on Banking Supervision, as well as on EU legal acts implementing these documents. Additional sources on the „indirect” functioning of G-SIBs in Poland encompass annual reports of the entities linked to them, management reports on their activities, as well as articles and Internet data. Results of the research: G-SIBs influence Polish financial sector in several different ways. First, G-SIB-oriented regulation and supervision has an impact on Polish entities that are linked to them. Second, even indirect presence of G-SIBs is economically significant.
Źródło:
Finanse i Prawo Finansowe; 2021, 4, 32; 67-82
2391-6478
2353-5601
Pojawia się w:
Finanse i Prawo Finansowe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Chinas shadow banking sector: recent developments and systemic risk assessment
Chiński sektor bankowości nieformalnej: postępy i ocena ryzyka systemowego
Autorzy:
Cieslik, E.
Powiązania:
https://bibliotekanauki.pl/articles/38037.pdf
Data publikacji:
2014
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Wydawnictwo Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie
Tematy:
China
banking
shadow banking
development
systemic risk
risk assessment
financial system
Opis:
It is said that the shadow banking system could be one of a variety of sources for the current global financial crisis. This sector also exists in China in a lesser advanced form than in Western economies in terms of instruments, risk measures or regulations. The official definition of China’s shadow banking has not been developed yet. The article presents the current stage of China’s shadow banking development, the size of this sector, recent studies focus on the role of informal financing in China’s economic growth and the risk derives from expanding shadow banking instruments. Due to the lack of risk measuring institutions and lack of data concerning Chinese shadow banking, Western concepts of systemic risk measurement cannot be applied in China. Consequently this paper adopts simple approach to systemic risk assessment.
Bankowość nieformalną (shadow banking) można uznać za jedno z wielu źródeł obecnego globalnego kryzysu finansowego. Sektor ten wykształcił się także w Chinach, ale w mniej zaawansowanej formie niż w krajach rozwiniętych, biorąc pod uwagę instrumenty, sposoby oceny ryzyka i regulacje. Dodatkowo, w Chinach nadal nie opracowano oficjalnej definicji bankowości nieformalnej. W artykule przedstawiono: aktualny stan rozwoju shadow banking w Chinach, rozmiary tego sektora, ostatnie badania dotyczące roli finansowania nieformalnego w stymulowaniu chińskiego wzrostu gospodarczego oraz ryzyko wynikające z instrumentów bankowości nieformalnej. Ze względu na brak wykształconych instrumentów oceny ryzyka i danych dotyczących chińskiego sektora nieformalnego zachodnie koncepcje pomiaru ryzyka systemowego nie znajdują zastosowania w Państwie Środka. W artykule zastosowano dlatego proste podejście do oceny ryzyka systemowego.
Źródło:
Acta Scientiarum Polonorum. Oeconomia; 2014, 13, 2
1644-0757
Pojawia się w:
Acta Scientiarum Polonorum. Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Zjawisko nadmiernej procykliczności sektora finansowego z perspektywy polityki makroostrożnościowej – źródła, metody ograniczania i ich rudymentarne słabości
The phenomenon of excessive procyclicality of the financial sector from the perspective of macroprudential policy – sources, methods of reduction and their basic limitations
Autorzy:
Olszak, Małgorzata
Powiązania:
https://bibliotekanauki.pl/articles/526156.pdf
Data publikacji:
2015
Wydawca:
Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:
procyclicality
systemic risk
macroprudential policy
procykliczność
ryzyko systemowe
polityka makroostrożnościowa
Opis:
This article presents explanations of the procyclicality phenonomenon with the application of the theory of market failures and behavioral finance. This analysis shows that the most important failures include: externalities of strategic complementarities (the classical herding phenomenon), fire sale externalities (i.e. asset prices spirals); network externalities (i.e. contagion risk). The theory of market failures does not say the whole story about the procyclicality phenomenon. To get a fuller picture of procyclicality one has to resort to behavioral finance, i.e. availability heuristics and threshold heuristics. The analysis also focuses on macroprudential instruments in their potential to affect financial cycle and soundness of financial sector. The article aims also to identify basic limitation of macroprudential policy instruments.
W artykule przedstawiono wyjaśnienia zjawiska procykliczności działalności depozytowo-kredytowej na gruncie teorii zawodności mechanizmu rynkowego oraz na gruncie finansów behawioralnych. Wskazano, że wśród takich głównych zakłóceń znajdują się: efekty zewnętrzne związane ze strategicznymi komplementarnościami, z masową sprzedażą aktywów oraz z powiązaniami (i prowadzące do zjawiska zarażania). Zakłócenia mechanizmu rynkowego zakorzenione w teorii ekonomii klasycznej nie dają pełnego obrazu procykliczności działalności depozytowo-kredytowej. Aby ją lepiej zrozumieć, należy odwołać się do osiągnięć finansów behawioralnych. Analizie poddano również podstawowe antycykliczne instrumenty polityki makroostrożnościowej oraz mechanizm transmisji tych instrumentów w obszarze oddziaływania na cykl kredytowy i odporność sektora finansowego oraz określono również czynniki, które mogą ograniczać skuteczność i efektywność tych instrumentów.
Źródło:
Problemy Zarządzania; 2015, 3/2015 (55), t.2; 72-96
1644-9584
Pojawia się w:
Problemy Zarządzania
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Identification of global systemically important stock exchanges
Autorzy:
Karkowska, Renata
Kravchuk, Igor
Powiązania:
https://bibliotekanauki.pl/articles/22446431.pdf
Data publikacji:
2019
Wydawca:
Instytut Badań Gospodarczych
Tematy:
capital market
systemic risk
stock exchange
macroprudential policy
financial stability
Opis:
Research background: Increased regulations reducing systemic risk are essentially underpinned by the understanding of the global nature and sources of instability of the financial system. In the economic literature, there are many arguments presented by critical supporters and opponents of measuring and reporting global systemically important entities. Purpose of the article: In response to the requirements of regulators, the article seeks to identify systematically important regulated stock markets for selected global stock exchanges by developing a composite ratio. Additionally, it provides empirical evidence concerning their risk exploration. Methods: The proposed method uses weighted average values of indicators grouped in four categories: (1) market size, (2) cross-jurisdictional activity and interconnectedness, (3) substitutability, (4) complexity. The research covers stock exchanges, reported to WFE, spanning the period 2008?2017. Findings & Value added: The study finds that the problem of systemic risk on global stock exchanges is growing despite numerous prudential regulations. In order to obtain a more complete assessment of market systemic sensitivity, regulators should take into account a wider range of indicators and calculations such as cross-jurisdictional activity and market complexity.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2019, 14, 1; 31-51
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
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