Essays on financial stability, systemic risk and the spillover effects of financial crises

HB Economic Theory;HG Finance

Tsopanakis, Andreas ; MacDonald, Ronald

University:University of Glasgow

Department:Adam Smith Business School

关键词: HB Economic Theory;    HG Finance;   

Others  :  http://theses.gla.ac.uk/5496/1/2014tsopanakisphd.pdf

来源: University of Glasgow

【 摘 要 】

This thesis investigates in depth several aspects of economic activity throughan aggregated metric, which aims to account for the inherent distressful characteristicsof the financial system. This work is strongly motivated by the extraordinaryevolution of the financial and economic landscape and the induced fragility within itsfoundations, especially during the last years.Chapter 1 provides an overview of the theoretical considerations on the topicsdiscussed in this thesis. Additionally, the motivations and a brief presentation of thethesis contents are provided.Chapter 2 empirically investigates the leading indicator properties of theaggregate systemic risk indices to the real economy. In order to do that, I construct aseries of financial stress indices for 25 countries. The countries are bundled into threegroups (OECD, Asian, Latin American countries) and, apart from the nationalindexes, regional and a global index are computed. In order to do this, a number ofvariables from the banking sector, financial and capital markets and the foreignexchange market of each country, have been used for the implementation of theseindicators. The indexes are successful early warning indicators, accurately capturingprevious financial stress periods, while the financial turmoil of 2007-2009 is, withoutdoubt, the most severe one. Forecasting exercises indicate the improved ability ofindices-enhanced models to successfully predict the evolution of economic activity.Chapter 3 investigates the interrelations and financial interconnections of theEurozone economies. Financial stress indices are constructed for, both, countries andtheir four most important financial markets (banking, money, equity and bond). UsingVAR models, a number of innovative conclusions are reached, such that: 1) not allperipheral countries (and especially Greece and Portugal) should be blamed for thecrisis exacerbation 2) there is clear evidence of stronger interdependencies betweenbanking and bond markets and 3) a degree of segregation (in terms of financial stressinterdependence) between peripheral and core Eurozone economies.The last essay aims to the deeper empirical investigation of potential crosscovariancesand spillover effects between the Eurozone economies and financialmarkets. Full, asymmetric GARCH-BEKK models are estimated, both on a market (or3country) wide level and, then, with the full spectrum of Euro Area markets. In otherwords, we complete an empirical examination, both “within” and “between”Eurozone economies and markets. The results reveal a number of interesting insights:on country wide level, there is strong volatility transmission channel from the mostheavily hit, from the crisis, economies towards the rest. Additionally, the crucialimportance and role on this transmission from the banking and bond markets isunderlined. Contrary to common wisdom, Greece is not the main propagator ofvolatility uncertainty, while it is between the most important receivers of volatilityrisk. The same holds for other peripheral economies, while the importance of moneymarket is also evident in the large, “between”, empirical approach.