Systematic cyclicality of systemic bubbles: Evidence from the US commercial banking system
- Authors
- Kim, Myeong Hyeon; Kim, Baeho
- Issue Date
- 12월-2014
- Publisher
- ELSEVIER
- Keywords
- Systemic bubble; Financial crisis; Cyclicality; Early warning signal; Markov regime-switching model
- Citation
- JOURNAL OF MACROECONOMICS, v.42, pp.281 - 297
- Indexed
- SSCI
SCOPUS
- Journal Title
- JOURNAL OF MACROECONOMICS
- Volume
- 42
- Start Page
- 281
- End Page
- 297
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/96722
- DOI
- 10.1016/j.jmacro.2014.10.001
- ISSN
- 0164-0704
- 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.
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Collections - Korea University Business School > Department of Business Administration > 1. Journal Articles
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