Systemic Risk and Financial Consolidation true
By:Mr. Gianni De Nicoló,Mr. Myron L. Kwast
Published on 2002-03-01 by International Monetary Fund
We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99. This finding suggests that the systemic risk potential in the financial sector may have increased. In addition, we find a positive consolidation elasticity of correlations. However, such elasticity exhibits substantial time variation and likely declined in the latter part of the decade. Thus, factors other than consolidation have also been responsible for the upward trend in return correlations.
This Book was ranked at 31 by Google Books for keyword Consolidation.
Book ID of Systemic Risk and Financial Consolidation's Books is SWNHh_bDOncC, Book which was written byMr. Gianni De Nicoló,Mr. Myron L. Kwasthave ETAG "uPy7d1zvMhk"
Book which was published by International Monetary Fund since 2002-03-01 have ISBNs, ISBN 13 Code is 9781451894479 and ISBN 10 Code is 1451894473
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