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An Empirical Study on Measuring Systemic Risk Based on Information Flows using Variance Decomposition and DebtRank
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 Title & Authors
An Empirical Study on Measuring Systemic Risk Based on Information Flows using Variance Decomposition and DebtRank
Park, A Young; Kim, Ho-Yong; OH, Gabjin;
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We analyze the systemic risk based on the information flows using the variance decomposition, DebtRank methods, and the Industry Sector Indices during 2001. 01 to 2015. 08. Using the KOSPI stock market as our setting, we find that (i) the systemic risk calculated by information flows of variance decompositions method shows strong positive relations with the market volatility, (ii) the magnitude of systemic risk measured from the information flows network by DebtRank method increases after the subprime financial crisis.
Systemic Risk;DebtRank;VDM;Information Flow;
 Cited by
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