Systemic risk is the risk that negative feedback that is directed at one company is propagated to other companies through a speci c relationship channel. To measure systemic risk that is characterized by interconnected features among economic unit, we employ the generalized variance decomposition method (GVDM) with a volatility data set of 354 companies listed on the KOSPI index. Based on the contagion behavior of industry sectors or the chaebol group observed in nancial markets, we propose a novel approach to quantify systemic risk and to calculate the extent of systemic risk for the KOSPI market. We nd that systemic risk is closely related to financial crises such as the Asian currency crisis and the subprime mortgage crisis. In addition, we analyze whether the chaebol group is related to systemic risk, and nd that the chaebol group in uences both the contagion effect of real economic sectors, with the exception of construction, and systemic risk.
JEL classification: D62; E53; E58; G21
Keywords: Systemic risk, contagion, Industry sector
학회소식
공지사항
[2015년 제 2차] Systemic risk based on Intra and Inter-sector conta
작성자 : 관리자
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2015-06-03
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