Transmission of Systemic Risk Through Latent Leverage Channel
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김명현 | - |
dc.contributor.author | 김배호 | - |
dc.date.accessioned | 2021-09-04T06:58:51Z | - |
dc.date.available | 2021-09-04T06:58:51Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1229-0351 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/90868 | - |
dc.description.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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 한국재무학회 | - |
dc.title | Transmission of Systemic Risk Through Latent Leverage Channel | - |
dc.title.alternative | Transmission of Systemic Risk Through Latent Leverage Channel | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 김배호 | - |
dc.identifier.bibliographicCitation | 재무연구, v.29, no.4, pp.473 - 494 | - |
dc.relation.isPartOf | 재무연구 | - |
dc.citation.title | 재무연구 | - |
dc.citation.volume | 29 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 473 | - |
dc.citation.endPage | 494 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART002171539 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Latent Leverage Index | - |
dc.subject.keywordAuthor | Systemic Risk | - |
dc.subject.keywordAuthor | Balance-Sheet Information | - |
dc.subject.keywordAuthor | Procyclicality | - |
dc.subject.keywordAuthor | Korean Banking System | - |
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