Transmission of Systemic Risk Through Latent Leverage ChannelTransmission of Systemic Risk Through Latent Leverage Channel
- Other Titles
- Transmission of Systemic Risk Through Latent Leverage Channel
- Authors
- 김명현; 김배호
- Issue Date
- 2016
- Publisher
- 한국재무학회
- Keywords
- Latent Leverage Index; Systemic Risk; Balance-Sheet Information; Procyclicality; Korean Banking System
- Citation
- 재무연구, v.29, no.4, pp.473 - 494
- Indexed
- KCI
- Journal Title
- 재무연구
- Volume
- 29
- Number
- 4
- Start Page
- 473
- End Page
- 494
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/90868
- ISSN
- 1229-0351
- Abstract
- This paper examines the mechanism of systemic risk propagation through system-wide latent leverage channel. We focus on the hidden leverage-induced asset value dynamics in the financial markets, intertwined with balance-sheet components of the banking system. We propose a latent leverage index by estimating smooth transition regression models based on the intrinsic element of the financial system, off-balance-sheet transaction, and cross-border activities of the Korean commercial banking system. We find that a shock to the latent leverage index impacts the macroeconomy with the lag of three quarters. This finding provides an important policy-oriented implication for macroprudential supervision of banking system.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - Korea University Business School > Department of Business Administration > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.