Systematic cyclicality of systemic bubbles: Evidence from the US commercial banking system
DC Field | Value | Language |
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dc.contributor.author | Kim, Myeong Hyeon | - |
dc.contributor.author | Kim, Baeho | - |
dc.date.accessioned | 2021-09-05T02:47:14Z | - |
dc.date.available | 2021-09-05T02:47:14Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2014-12 | - |
dc.identifier.issn | 0164-0704 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/96722 | - |
dc.description.abstract | This paper investigates the extent of vulnerability in the U.S. commercial banking system through a pro-cyclical interaction between the market-wide risk perception and system-wide asset management behavior. Based on a Markov regime-switching model, the proposed diagnostic framework clearly illustrates its ability to provide an early warning signal of the build-up and unwinding of fragility in the financial system and the real economy for a counter-cyclical structure of regulatory policy. Empirical results demonstrate an asset pricing implication, as the proposed systemic bubble index is a significant factor that affects the investment opportunity set of stock investors for financial firms but not for non-financial firms. (C) 2014 Elsevier Inc. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER | - |
dc.subject | RISK | - |
dc.subject | RETURNS | - |
dc.title | Systematic cyclicality of systemic bubbles: Evidence from the US commercial banking system | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Baeho | - |
dc.identifier.doi | 10.1016/j.jmacro.2014.10.001 | - |
dc.identifier.scopusid | 2-s2.0-84915807825 | - |
dc.identifier.wosid | 000347023700020 | - |
dc.identifier.bibliographicCitation | JOURNAL OF MACROECONOMICS, v.42, pp.281 - 297 | - |
dc.relation.isPartOf | JOURNAL OF MACROECONOMICS | - |
dc.citation.title | JOURNAL OF MACROECONOMICS | - |
dc.citation.volume | 42 | - |
dc.citation.startPage | 281 | - |
dc.citation.endPage | 297 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordAuthor | Systemic bubble | - |
dc.subject.keywordAuthor | Financial crisis | - |
dc.subject.keywordAuthor | Cyclicality | - |
dc.subject.keywordAuthor | Early warning signal | - |
dc.subject.keywordAuthor | Markov regime-switching model | - |
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