Journal of Financial Stability 28 (2017) 91–114Contents lists available at ScienceDirect Journal of Financial Stability journal homepage: www.elsevier.com/locate/jfstabil An analysis of the literature on systemic financial risk: A survey夽,夽夽 Walmir Silva a,b , Herbert Kimura a , Vinicius Amorim Sobreiro a,∗ a University of Brasília, Department of Management, Campus Darcy Ribeiro, Brasília, Federal District 70910-900, Brazil b Central Bank of Brazil, Brasília, Brazil a r t i c l e i n f o a b s t r a c t Article history: This article presents an analysis of the literature on systemic financial risk. To that end, we analyze Received 1 November 2016 and classify 266 articles that were published no later than September 2016 in the databases Scopus and Received in revised form Web of Knowledge; these articles were identified using the keywords “systemic risk”, “financial stability”, 29 November 2016 “financial”, “measure”, “indicator”, and “index”. They were evaluated based on 10 categories, namely, Accepted 14 December 2016 type of study, type of approach, object of study, method, spatial scope, temporal scope, context, focus, Available online 21 December 2016 type of data used, and results. The analysis and classification of this literature made it possible to identify the remaining gaps in the literature on systemic risk; this contributes to a future research agenda on the JEL classification: G01 topic. Moreover, the most influential articles in this field of research and the articles that compose the G15 mainstream research on systemic financial risk were identified. G2 © 2016 Elsevier B.V. All rights reserved. G28 C58 C6 Keywords: Systemic risk Financial stability Bibliometry Financial Measure 1. Introduction in addition to becoming globalized; moreover, the introduction of telematic technologies has increased trading speed. According to Research on systemic risk in financial markets has intensified Grilli et al. (2014a), in recent decades, the economic system has since the US mortgage crisis that began in 2007. The vulnera- witnessed a substantial transfer of resources from the productive bility of the financial system was exposed by the bankruptcy of segment to the financial sector. According to the same authors, the Lehman Brothers in September 2008 and Eurozone the sovereign financialization of the economy is one of the factors responsible for debt crisis that followed. Such events generate panic and chain growing financial instability, reflected in financial crises that have reactions, undermining the confidence that is necessary for the become more intense over the years. proper functioning of the financial system. According to the Inter- Oort (1990) cites the following causes of vulnerability to the national Monetary Fund (IMF), the lack of effective mechanisms for banking system: (i) larger bank bankruptcies causing a general addressing these situations poses a significant risk (IMF, 2009). financial crisis due to the dense network of connections among These events are even more serious because the financial sector banks; (ii) the systemic risks alleged to be inherent in certain “new” as a proportion of the overall economy in many countries has grown bank products; and (iii) the impact of external events, such as debt crises, sudden changes in market rates, and deregulation. Oort (1990) considers the likelihood of a major banking crisis to be small, mainly because of increased banking oversight and its application 夽 This document was a collaborative effort. on a comprehensive and consolidated global basis (Oort, 1990, p. 夽夽 The views expressed in this work are those of the authors and do not necessarily 463). Subsequent events, particularly the 2008 crisis, have contra- reflect those of the Central Bank of Brazil nor those of its members. ∗ Corresponding author. dicted this assumption. E-mail addresses:
[email protected] (W. Silva),
[email protected] Interestingly, certain articles published before the 2007 cri- (H. Kimura),
[email protected] (V.A. Sobreiro). sis called attention to the increased systemic financial risk. For http://dx.doi.org/10.1016/j.jfs.2016.12.004 1572-3089/© 2016 Elsevier B.V. All rights reserved. 92 W. Silva et al. / Journal of Financial Stability 28 (2017) 91–114 example, De Nicolo and Kwast (2002) state that the ongoing consol- • First stage: Perform a comprehensive search of the published idation of the financial system was one of the most notable features papers on the theme in relevant databases at that time and that the establishment of a number of very large • Second stage: Develop a classification model, coded using a logi- and, in some cases, very intricate financial institutions increased cal structure concerns regarding the growth of systemic risk. Lehar (2005) also • Third stage: Apply the classification model and elaborate a frame- notes an increase in systemic risk in the banking sector due to the work of the current discussion on the theme ongoing rapid integration of financial markets; this was a cause for • Fourth stage: Present the characteristics of the scientific literature concern among regulators and supranational agencies given that and the main results, taking into account the coding system the concurrent insolvency of many banks could generate a serious • Fifth stage: Analyze the gaps and suggest opportunities for further economic crisis, as past experience had already shown. study Daníelsson (2002) warns that macro-prudential regulation focused only on the risks taken by banks and other financial insti- tutions individually and was not sufficient to prevent crises. In the To map the scientific production regarding systemic financial opinion of this author, risk measures that consider only the specific risk, the first step was to build a significant sample of the arti- risk of the institution do not help in the monitoring of systemic risk; cles produced in the field. Thus, on December 22, 2014, searches on the contrary, they can aggravate it. Moreover, Danielsson et al. were performed in the Scopus database using the keywords “sys- (2016) show that model risk increases with market uncertainty, temic risk” and “financial stability”, further combining “systemic which has to be taken into account given the fundamental role risk risk” and “financial” and “measure” or “indicator” or “index”. These models play in the regulatory process. searches were not limited temporally, but the thematic areas were The IMF in its Global Financial Stability Report of 2009 draws limited to “Social Sciences & Humanities” and “Physical Sciences”, attention to the need for tools that would allow systemic risk to be excluding the thematic areas of “Life Sciences” and “Health Sci- detected and states that the ability to identify systemic risk at an ences”. In the first search, a sample of 170 articles was obtained, early stage can allow regulators to proactively engage in defining with 86 available in full for download (only the abstracts were measures to control crisis (IMF, 2009). available for the others). The second search produced 134 arti- As identified in the present study, the academic research on sys- cles, of which 61 were available in full for download. Eight articles temic risk has grown since the financial crisis that began in 2007, were listed in both searches; therefore, the sample was com- which shows the relevance of the subject. Consequently, following posed of 139 articles that were available in the database. Of these the method proposed by Jabbour (2013), Lage-Junior and Godinho- articles, two were excluded because they were editorials; three Filho (2010), and Seuring (2013), the objectives of this study are as did not correspond to the articles advertised, due to errors in follows: the databases; and two were later found to address a subject different from the one intended. Thus, an initial sample of 132 articles of interest, which were available in full to download was • Identify articles in the Scopus and Web of Knowledge databases obtained. related to systemic financial risk to build a sample In May 2015, an additional 25 articles published no later than • Classify and code the characteristics and scope of the papers 2014 and not included in the original sample were downloaded • Generate a summary of the contribution of each paper and ana- from the Web of Knowledge database, with the same combina- lyze the mainstream research on systemic financial risk tions of keywords used in Scopus. In April 2016, it was decided to • Identify the strengths and weaknesses of the studies incorporate articles that were published in 2015 and available for • Identify the most influential articles in this field of study, building download. Thus, an additional 45 articles were added to the sample. a network of studies In September 2016, 64 articles published in 2015 and 2016 were • Provide a framework to address the relevant gaps in the current added, for a final sample of 266 articles downloaded from the Sco- discussion on systemic financial risk pus and Web of Knowledge databases for classification, as shown in Table 1. Below, we present the research method (Section 2); the classi- fication and coding mechanism for the papers (Section 3); a brief review of the concept of systemic financial risk (Section 4); the Table 1 results of the article classification, including perceived gaps, as well Sample of articles on systemic financial risk. as the identification of research networks and analysis of the main research path (Section 5); and final considerations (Section 6). Keywords Total Scopus Web of General Scopus download Knowledge total download 2. Research methods Systemic risk and 170 86 financial stability. Systemic risk and 134 61 This work follows the method of Jabbour (2013), Lage-Junior and measure or indicator Godinho-Filho (2010), and Seuring (2013), who refer to Huisingh or index. (2012). This study is a literature analysis; it is useful for structur- Duplicity inside the −8 ing the results of research that addresses emerging themes; it also database. Addition of Web of 35 provides a comprehensive assessment of the cutting edge of the lit- Knowledge. erature. In addition, this approach aims to characterize the research Exclusions. –7 –10 field and to identify gaps in the research, providing a basis for fur- Totals. 132 25 157 ther investigation (Huisingh, 2012). Although many studies follow Addition of 2015. 35 Addition of 2015 Web 12 a review based method, including the works cited, the research on of Knowledge. systemic financial risk has not been addressed to a large extent. Addition of 2015. 52 Jabbour (2013) and Lage-Junior and Godinho-Filho (2010) propose Addition of 2015 Web 10 that literature reviews should take into consideration the following of Knowledge. stages: General total. 266 Number of articles per journal. in the next section together with the classification of the articles. W. 1. . and it was refined as more articles were • Classification 4: Comprehensiveness in geographic terms. 2. In total. Silva et al. as shown in Fig. / Journal of Financial Stability 28 (2017) 91–114 93 Fig. Classification and coding remaining 125 articles. 1.). as shown in Table 2. Each of the classifications is also two articles in the sample were published in 2001 or before 2001. • Classification 2: Approach. as shown in • Classification 1: Type of study. a proposed classifi. It is important to every year on a regular basis but at low frequency until 2008. • Classification 3: Object of study. and Seuring (2013). we observe that only gories. coded from A to D Once the articles were read and analyzed. coded analyzed. Lage-Junior and Godinho-Filho (2010). C. this classification system From 2002 onward. the number of articles on systemic financial risk grew significantly. articles on systemic financial risk occurred involves an aggregation of numbers and letters. coded from A to J cation system was built. coded with letters (A. A large dispersion of publishing vehicles was observed for the 3. and the worsening of the global financial crisis. numbered 1 through 10. Number of articles per year. The classification scheme includes 10 cate- By organizing articles by publication year. posed by Jabbour (2013). cles (162 of 266). the sample consists of articles published in 104 journals. B. note that an article can be associated with several codes for a given From 2009 onwards. Regarding the vehicles of publication of the articles. Ten classes were proposed for analyzing and mapping the from A to E Fig. after the bankruptcy of Lehman Brothers item. 2. with the vast majority of journals (74) The structure for classification is built following the method pro- publishing only one article and 15 journals publishing two articles. etc. they are presented observed that 17 journals concentrated 61% of the published arti. Thus. it is scientific production on systemic financial risk. coded on a scale from A to C Fig. 2 B – More than one country. literature. • Classification 8: Type of data analysed. The effects of contagion are at the core of the concept. 3 F – Size of institutions. For De-Bandt and Hartmann (2000). fication in the various items listed above are shown in Tables 4–8. temically important intermediaries or markets (including potentially tions. coded from A to D D – More than 10 years. C – From 5 to 10 years. p. National Institute Economic Review. Research in International Business and Finance. Journal of Financial Services Research. in the banking and financial segments and payment and settlement C – Replication to a different context or systems. 2000). 2 4 Scope. D – Insurance companies. Journal of International Money and Finance. • Classification 9: Methods used. Journal of Empirical Finance. 3 G – Interconnectivity/Interdependence. 2 A – Financial institutions in general. Scientific Reports. 2 Concentration/Diversification/Competition. / Journal of Financial Stability 28 (2017) 91–114 Table 2 Table 3 Number of articles published per journal. Such an event adversely affects a number of sys- risk as the possibility of an institution failing to honor its obliga. 41 A – Theoretical. coded from A to H A – Up to 2 years. The Spanish Review of Financial Economics. there is no universal definition of systemic financial risk. Journal Number of articles Rating Meaning Encryption Journal of Financial Stability. Journal of Banking & Finance. Journal of International Economics. Definition of systemic financial risk B – Computational/Simulation. A – From market. For caused by common shocks (De-Bandt and Hartmann. any A – New perspectives. E – Contagion. 2 E – Not specified/Not applicable. 2 B – Banks. International Journal of Finance and Economics. C – Both. • Classification 7: Period studied. 9 Methods used. A brief conceptual foundation of financial systemic risk A – Econometric/Statistical/Multivariate analysis. 74 C – Stock market. According to these authors. 5 A – Regulation. the ECB. B – From balance sheets. Mathematical Finance. kets analyzed. C – Quantitative and qualitative. Procedia – Social and Behavioral Sciences. C – Mathematical modelling. coded from A to E 7 Studied periods. Table 3 shows the classification structure and codes used. Institutions 8 B – Qualitative. United States of America. E – Investment funds/Hedge funds. 35 1 Study type. More specifically. orous models of contagion within the banking and payment system have been suggested. and Money. and other bodies. it is difficult to establish empirical tests that can and causing wider effects due to liquidity and credit constraints. coded from A to E B – From 2 to 5 years. “one perspective is to describe it as the risk of experiencing a The European Central Bank (ECB. related to the type of institutions and mar. the stability of the financial system is jeopardized. 2 Financial Markets. 2 A – One country. Physica A. 2 J – Not applicable.94 W. 2 5 Context. 4 risk/Sovereign risk. 11 C – Both. The full list of articles that comprise the sample and their classi- D – From regulators. 134). C – Macroeconomic. Economic Modelling. several rig. • Classification 10: Results. B – Empirical. I – Other segments. allow a distinction between the contagion itself and joint crises ultimately. 2 B – Undeveloped country. 5 International Review of Economics & Finance. Institutions and Instruments. but there is no general theoretical framework. 5 C – Credit Risk/Default risk/Counterparty Insurance: Mathematics and Economics. 2 D – World. According to Summer (2003). 5 B – Market risk. Proceedings of the National Academy of Sciences of the 2 D – Not applicable. Economic Systems. Others. Silva et al. 11 A – Quantitative. In the same vein. Lehar . 3 H– Annals of Finance. related to the degree of development of F – Real Estate/Mortgages. 7 E – Not applicable. 4. Review of Financial Studies. International Economics. coded from A to D H – Countries/Government Bonds. Journal of International Financial Markets. International Review of Financial Analysis. 8 D – Review/Survey. prompting the same failure on the part of other participants related infrastructures)” (ECB. Journal of Econometrics. period. E – Not applicable. E – Others. F – Not applicable.1. 2 I – Others. • Classification 5: Context. following aggregate shocks. the countries analyzed. D – Not applicable. C – Region/Block. 2009. G – General market (non–financial). IMF. 2 Type of approach. • Classification 6: Focus. 2009) characterizes systemic strong systemic event. coded from A to E E – Not applicable. which also includes simultaneous instances of financial instability D – Comparative study. 2 A – Developed country. Journal of Financial Economics. Journal of Economic Dynamics and Control. 4 D – Liquidity risk. 8 Types of data analysed. B – Consistent with previously published concept of systemic financial risk should include widespread events 10 Results. 4. 4 3 Object of study. Journal of Financial Intermediation. 6 Focus. Journal of Central Banking Theory and Practice. European Economic Review. Annual Review of Financial Economics. Classification and coding used to analyse the articles. 3G 4A 5A 6B. 3I 4E 5D 6B 7E 8F 9C 10A Bowden and Posch (2011) 1A 2B 3A. 3I 4B 5A 6B 7D 8B. 3E. with an ensuing credit typically fluctuates between low volatility during economic growth and liquidity crisis. 6I 7B 8D 9D 10B Benoit (2014) 1B 2A 3A. 3E. 3B 4C 5A 6B 7D 8A 9A 10D Berger and Pukthuanthong (2012) 1B 2A 3B. 3C 4C 5A 6C 7D 8A 9A 10B Bluhm and Krahnen (2014) 1A 2A 3A. 3G 4B 5A 6B 7C 8B 9A. 6H 7B 8A 9A 10B Banulescu and Dumitrescu (2014) 1B 2A 3B. For Adrian and Brunnermeier (2010). severely affecting (2013) conceptualize systemic risk as the probability of a severe the entire financial system and the real economy. 3G 4A 5A 6B 7B 8D 9A 10A Baur and Schulze (2009) 1B 2A 3E. (2012) suggest that one symptom of systemic risk is (2013) describe systemic risk as a situation in which the entire related to the existence of abrupt shifts in regime. 3D 4D 5C 6B 7D 8A. (2011) 1A 2A 3A. 8D 9A 10A Balbás et al. 3E 4A 5A 6A. 8C 9A 10B Bernal et al. 8B 9A 10A Anufriev and Panchenko (2015) 1B 2A 3G. (2016) 1B 2A 3B. related to the malfunction of an institution spreading extensively In his work. p. ronment. 6E.3E 4D 5C 6B 7D 8A. 8B 9A 10C Battiston et al. Billio et al. 8B. 3G 4A 5B 6B 7A 8D 9A. 8D 9C 10B Ahrend and Goujard (2015) 1B 2A 3C. of capital and exacerbating capital losses. sys. “In general. 3E. (2014) 1B 2A 3B 4B 5A 6B. defining other estimates for potential losses and asset ure of financial institutions and capital markets that considerably value. reducing the supply In the words of Abdymomunov (2013. (2012) 1B 2A 3D. 8B. This shock can decline in the financial system. 3I 4D 5C 6C 7D 8A 9A 10A Beale et al. (2011) 1B 2A 3B 4D 5C 6C 7C 8A 9A 10A Anginer et al. (2016) 1B 2A 3C 4B 5A 6H 7B 8A 9A 10B Betz et al. (2012) 1B 2A 3B. / Journal of Financial Stability 28 (2017) 91–114 95 Table 4 Articles that compose the sample. (2013) 1B 2A 3H 4D 5C 6B 7D 8A. 3I 4D 5C 6E. (2012b) 1B 2A 3C. 8D 9A 10A Bengtsson (2014) 1A 2B 3A. 3I 4A 5B 6G. 3E. of an event that implies the simultaneous bankruptcy of a certain a shock caused by the failure of an individual market participant that number of financial institutions. 8D 9A 10B Barth and Wihlborg (2016) 1A 2B 3A. Silva et al. 3G 4D 5C 6B 7C 8A. 3G 4A 5A 6B. temic risk is perceived as the risk of a negative shock. 8C 9A 10B Aleksiejuk and Holyst (2002) 1C 2A 3E. 6D. 3F. 6C 7D 8A. 3G 4E 5D 6B 7E 8B 9C 10B Bordo et al. as the economy financial system is simultaneously stressed. (2016) 1B 2A 3A. 3G 4E 5D 6B 7E 8F 9C 10B Battiston et al. 9C 10B Alexander (2011) 1A 2B 3A 4C 5A 6A 7D 8D 9D 10A Allen et al. This definition is similar to that presented by Acharya uncertainty and modify their expectations of the economic envi- and Richardson (2009). 8D 9D 10B Aglietta and Scialom (2010) 1A 2B 3A 4D 5C 6B 7D 8A. 3I 4D 5C 6B 7C 8A. 6C. Study Type Approach Object Scope Context Focus Period Data Method Results Aboura and Wagner (2016) 1B 2A 3B 4A 5A 6C 7D 8A 9A 10A Abreu and Gulamhussen (2013) 1B 2A 3A. 6I 7C 8A 9A 10C Bernal et al. 3G 4E 5D 6B 7E 8F 9B. 6H 7C 8A 9A 10B Bianconi et al. 3F. 3C. Furthermore. 3E. 9C 10A Amini et al. 3C. (2015) 1A 2C 3A 4A 5A 6A 7D 8A. Patro et al. which occurs when market participants experience growing of real assets. 8C. (2012) 1B 2A 3F. 8C. systemic financial risk is or a shock caused by information disruption in financial markets”. 9B 10B Beck et al. (2015) 1B 2A 3B. (2013) 1A 2A 3A. on financial markets and on the real economy. 8B. (2012a) 1A 2A 3E. 3G 4C 5A 6B. caused by a strong and broad event. 6H 7B 8A 9A 10B Balogh (2012) 1B 2A 3A 4C 5A 6B 7C 8C. 3G 4D 5C 6B 7D 8A. (2016) 1B 2A 3A 4C 5B 6B 7D 8C. such as a macroeconomic shock. 3F. Patro et al. 3C. 3C. 6I 7D 8D 9D 10B Ashraf et al. 8D 9A 10B Barth and Schnabel (2013) 1B 2A 3B. 3I 4A 5A 6B. 9C 10B Andersen et al. 3I 4E 5D 6F 7E 8F 9D 10D Amini et al. 3F 4D 5C 6B. (2014a) 1B 2A 3A. 6I 7D 8A 9A 10B Barnea et al. 8C 9A 10A Anginer et al. 6C 7A 8A 9A 10B Adrian et al. 8E 9A 10C Billio et al. 6I 7D 8A. 3E. 3I 4E 5D 6A 7E 8F 9D 10B Breitenfellner and Wagner (2012) 1B 2A 3B 4C 5A 6C. (2016) 1C 2A 3A. who defines systemic risk as the joint fail. (2015) 1C 2A 3I 4E 5D 6B 7E 8E 9C 10B Barnett and Chauvet (2011) 1C 2A 3I 4A 5A 6G 7D 8A. 3D. 8D 9A 10B Avramidis and Pasiouras (2015) 1B 2A 3B. From a more current and comprehensive perspective. 3G 4B 5A 6B. 8B 9A 10A Baglioni and Cherubini (2013) 1B 2A 3C. 3H 4E 5D 6B 7E 8F 9A. 9C 10B Bosma (2016) 1A 2A 3A. the author limits the definition to systemic financial and disorganizing the supply of credit and capital to the economy stress. 3H 4D 5C 6B 7D 8A. 3G 4A 5A 6B 7D 8A. 6D. 8D 9A 10C Arinaminpathy et al. 3G 4D 5C 6C 7D 8A 9A 10B Berger and Pukthuanthong (2016) 1B 2A 3B 4A 5A 6C 7D 8A. 6I 7D 8A 9A 10A Birch and Aste (2014) 1C 2A 3C. 8B. 3G 4C 5A 6B. 8D 9A 10B Banerjee et al. (2012) 1A 2B 3A 4D 5C 6G 7E 8D 9D 10B Arora and Rathinam (2011) 1A 2B 3A. 455). 8B. 8B. 3C. 6I 7C 8A 9A 10B (2005) defines systemic financial risk as the potential of occurrence have different causes and triggers. 3B. 3E. 3I 4C 5A 6B 7B 8A. Systemic risk can have a significant influence and high volatility during economic contraction. 8C. 3G 4E 5D 6B 7E 8E 9B. (2014b) 1B 2A 3C. (2016) 1B 2A 3B. 8D 9D 10B Battaglia and Gallo (2013) 1B 2A 3I 4A 5A 6B 7C 8A. . 3G 4B 5A 6A. affects the entire system due to tight interconnections in the system. 8C 9A 10A Allen and Carletti (2013) 1A 2C 3A. (2014) 1A 2B 3A 4B 5A 6B 7D 8D 9D 10D Borio (2011) 1A 2B 3A 4A 5A 6A 7B 8D 9A. 9C 10A Black et al. 6D. W. (2016) 1B 2A 3C. shorten the supply of capital to the real market. 6G 7D 8A 9A 10B Apostolakis and Papadopoulos (2015) 1B 2A 3B. 8B 9A 10B Arnold et al. the demand of investors. (2012) 1B 2A 3C. 8C 9A 10B Chinazzi et al. 3C 4B 5A 6B 7C 8A 9A 10B Calice and Ioannidis (2012) 1B 2A 3B. 3B. 6G. and inefficient risk mitigation. 8B. 3D. which led to a state in which trading volumes quickly expand and saturate to information asymmetry. 9C 10A Dermine and Schoenmaker (2010) 1A 2B 3A. 6H. 3G 4A 5A 6B. 3I 4A 5A 6B. (2009) 1A 2A 3I 4E 5D 6A. 3D. 3I 4D 5C 6B 7E 8F 9D 10B Farruggio et al. 6D. 8D 9A. 9C 10B Buti and Carnot (2012) 1A 2C 3C 4C 5A 6H 7D 8A. 8D 9A 10B Drakos and Kouretas (2015) 1B 2A 3B 4B 5A 6B. 3H. of individual credit risk has the potential to generate ambiguous . inefficiency and loss issues. 3E 4E 5D 6B 7E 8F 9B. 6H 7A 8D 9D 10B Devriese and Mitchell (2006) 1A 2B 3D. but it occurs at the expense In the assessment of Battiston et al. 3I 4D 5C 6B 7D 8B 9A 10A Fecht et al. 3G 4C 5A 6B 7D 8A 9A. 3C 4B 5A 6B 7B 8A 9A 10B Calistru (2012) 1A 2B 3A. (2016) 1B 2A 3B. 3C 4D 5C 6A. 3C. 3F 4B 5A 6B. 3F. 3E. affecting banks around the ing of shocks. lems then arose in the interbank market. 8B 9A 10A De Nicolo and Kwast (2002) 1B 2A 3G. 3H. 3F. 3H 4B 5A 6B 7D 8B 9A 10B Cerchiello and Giudici (2015) 1B 2A 3C. 9B 10C Chang et al. (2012) 1A 2A 3E. 6I 7D 8A 9A 10A Dimsdale (2009) 1A 2B 3I 4A 5A 6A. 3H 4C 5A 6B 7D 8A. 8D 9A 10D Daníelsson (2002) 1C 2A 3A. 6C. 3E 4E 5D 6A 7E 8A. 6C. (2015) 1B 2A 3A. 3C 4A 5A 6H 7D 8C. 3I 4B 5A 6A 7D 8C. (2009) identify the uncontrolled proliferation of financial crisis (Dimsdale. Factors present in the discussion on systemic financial risk a prolonged period of macroeconomic stability. (2016) 1B 2A 3C 4C 5A 6B.2. the diversification of stability. and complete. 6G 7C 8C. Liquidity prob- a greater impact on systemic risk and the amplifying or dampen. leading to a drop in the cial institutions and of the functioning of the market in general have Asset Backed Securities (ABS) market in mid-2007. 3I 4A 5A 6B 7B 8B 9A 10B Caetano and Yoneyama (2011) 1B 2A 3B. (2013) 1B 2A 3C. 3D 4E 5D 6A 7E 8F 9C 10A Cambón and Estévez (2016) 1B 2A 3B 4A 5A 6A. 6I 7D 8A 9A 10C Ellis et al. The bankruptcy of Lehman Brothers in September 2008 was highlighted next. arbitrage-free. 3G 4D 5C 6C. 8B 9C 10B Chu (2015) 1C 2C 3H 4A 5A 6B 7D 8C. 9C 10A Calice et al. 3I 4A 5A 6B 7B 8D 9A 10C Cruz and Lind (2012) 1B 2A 3A. 6F. Silva et al. 9B 10C Caccioli et al. 6C. 3I 4D 5C 6B. 3I 4A 5A 6B 7B 8A. which may lead the market and complex securitization design of these mortgages. 3I 4B 5A 6C. 3I 4E 5D 6G 7E 8F 9B. 6C. 6G 7D 8A 9A 10A Dumičić (2016) 1B 2A 3A. 3E 4B 5C 6C 7D 8A 9B. 6H 7D 8C. 9C 10B Civitarese (2016) 1B 2A 3B 4A 5A 6C 7D 8A 9A 10D Castellacci and Choi (2015) 1A 2B 3E 4C 5A 6G 7E 8B 9C 10C Castro and Ferrari (2014) 1B 2A 3B. (2012) 1B 2A 3B 4A 5A 6B. the turning point. (2012a). (2011) 1B 2A 3B. 3H 4A 5B 6B 7C 8B. 3I 4D 5C 6A. 9C 10B Dabrowski et al. contagion. 3B. 3E. 3C. 6I 7D 8A 9A 10C Carmassi and Herring (2016) 1B 2A 3A. confirming that the world was facing a systemic Caccioli et al. 6I 7D 8A 9A 10A Danielsson et al.96 W. 3E 4A 5A 6H 7C 8A 9A. 3C. 2009). 8D 9A 10B Fazio et al. 3I 4D 5C 6C. 6H 7D 8A 9A 10B Duca and Peltonen (2013) 1B 2A 3A. (2015) 1C 2A 3B 4E 5D 6D 7E 8B 9C 10A Diebold and Yilmaz (2014) 1C 2A 3B. 3F. 6G 7E 8F 9C 10A Caccioli et al. 9B 10D Choi (2014) 1A 2A 3A. 3G. (2008) 1B 2A 3A. prime mortgage market in the United States. 6C 7B 8A 9A. 8D 9D 10B Donadelli and Paradiso (2014) 1B 2A 3B. 8D 9D 10B Cabrera Rodríguez et al. Study Type Approach Object Scope Context Focus Period Data Method Results Burkholz et al. 9B 10A Chatterjee (2015) 1B 2A 3I 4A 5A 6B. 6C. (2014b) 1A 2B 3A. (2016) 1A 2A 3G. 8C. 8D 9A 10A Chung et al. 3E 4B 5A 6B. 6D. 3F. that negatively In Dimsdale’s 2009 analysis. 3C. 8D 9A 10A Cao and Illing (2010) 1A 2A 3A. 6I 7E 8F 9B 10B di Bernardino et al. 6I 7D 8D 9D 10B Calmès and Théoret (2013) 1B 2A 3A. 6G 7A 8F 9A. 6G. 6H 7C 8D 9A 10B Choi et al. 3G 4E 5D 6B 7E 8F 9A. 8C. For this author. 3H 4A 5A 6B 7D 8A 9A 10A Derbali and Hallara (2016a) 1B 2A 3B 4C 5A 6B 7C 8A 9A 10C Derbali and Hallara (2016b) 1C 2A 3C. Petersen et al. 8C 9A 10C Chan-Lau et al. 6H 7C 8A 9A 10A Cox and Wang (2014) 1B 2A 3A. 6H 7D 8C. 3I 4C 5A 6H 7C 8C. 6G 7D 8A. 6F. 6I 7D 8D 9D 10A Claessens et al. problems initially arise with the increase in defaults in the sub- An important task is to identify which characteristics of finan. (2014) 1B 2A 3E 4A 5B 6A. 6H 7D 8F 9C 10A such as the breakdown of a financial institution. 8D 9A 10A Calmès and Théoret (2014) 1B 2A 3A. 6B. This situation makes the market seem pricing opacity. as one of the causes of the global financial crisis that started in 2007. (2012) 1A 2B 3A. inserted in a framework of excessive risk-taking following 4. / Journal of Financial Stability 28 (2017) 91–114 Table 5 Articles that compose the sample (continued). 8D 9A 10A Chuang and Ho (2013) 1B 2A 3C. 8D 9A 10C Caccioli et al. financial innovation also appears influences not only financial markets but the economy as a whole. 3I 4B 5A 6B. 6G 7B 8A. efficient. (2012) 1A 2A 3E. (2015) 1B 2A 3C. 3B. (2013) 1B 2A 3A. 6D. 3I 4A 5A 6A 7D 8B. 3I 4A 5A 6G. 6I 7D 8A 9A 10D De-Jonghe (2010) 1B 2A 3B. (2011) argue that financial instruments with the potential to cause large fluctuations the subprime mortgage crisis was mainly caused by the intricate and instability in the financial system. Some common points identified in the literature are world. (2013) 1B 2A 3A 4D 5C 6B 7D 8D 9A 10C Clark and Jokung (2015) 1A 2A 3A 4E 5D 6B 7E 8D 9C 10A Conciarelli (2014) 1B 2A 3A. 3E 4E 5D 6B. 3C 4B 5A 6B. 8C. 3G 4C 5A 6H 7B 8A 9A 10C Fink et al. 6I 7B 8A 9A 10C Hutchison (2002) 1B 2A 3A. (2012) argue that restrictions on leverage and imposing liquidity Furthermore. 9C 10B Hautsch et al. 3C. banks that securitize would have higher expected losses to the high number of counterparties. In turn. 6G 7D 8A. 8D 9A 10B Fernández-Rodríguez et al. / Journal of Financial Stability 28 (2017) 91–114 97 Table 6 Articles that compose the sample (continued). 3I 4D 5C 6B. 6D. 8D 9A. 3F. 2012). which would suggest that the risk transfer by securi- argue that the structure of interrelationships and the differences in tization is not significant in relation to the risk maintained by the financial robustness levels should be considered when establishing originating bank (Battaglia and Gallo. 2013). 3D. 3G. 3E 4A 5A 6B 7C 8B 9A. 8B. (2016) 1B 2A 3B. (2014a) 1A 2A 3E. the results suggest that the size of the bank. 3G. 3E 4A 5A 6E 7B 8A. 8B. 3C 4C 5C 6B 7B 8A. 3E. 3D 4D 5C 6B 7B 8D 9A. 9C 10A Gaffeo and Molinari (2015) 1A 2B 3G. 3G 4A 5A 6B 7C 8B. 6G. (2016) 1B 2A 3C. (2014) 1B 2A 3G 4D 5C 6G 7D 8D 9A. 3E. 9B. 8B 9A 10C Hasan et al. (2012a) 1B 2A 3C. 3C 4D 5A 6B 7D 8A. 3E. 3I 4E 5D 6B 7E 8D 9C 10A Hammoudeh and McAleer (2015) 1A 2D 3B 4B 5C 6B. 6F. 8B 9A 10C Huang et al. 6D 7D 8A 9A. 8D 9A. 8D 9C 10B Gómez (2015) 1A 2A 3I 4E 5D 6B 7E 8E 9C 10A Goodhart (2010) 1A 2B 3A. the more prudent risk behaviour of bank than an instrument that provides requirement of a cap on absolute bank size can be. securitization increases the like- benefit of mitigating results from defaults would be offset by a lihood of banks becoming systemically more risky. 8C 9C 10C Jin and Nadal De Simone (2014b) 1B 2A 3C. (2016) 1B 2A 3C 4A 5B 6B 7D 8D 9A. 3B. 8D 9A 10B Iachini and Nobili (2016) 1B 2A 3D 4A 5A 6C. in severe situation in which agents are more exposed to credit runs due scenarios. (2014) 1B 2A 3B 4A 5A 6B 7D 8A. 3C. 6I 7D 8A 9A 10C Grilli et al. Silva et al. and asset growth are key deter. view. (2015) 1B 2A 3B. (2016) 1B 2A 3A. particularly during a credit crisis. 9C 10A effects at the systemic level. 6I 7C 8A. 3D. 3E. (2016) 1B 2A 3B. 8B 9A 10B Guerra et al. 3C 4A 5A 6D 7D 8A. an effective tool for reducing a bank’s risk of default. 8B 9A. p. 3I 4A 5A 6B 7B 8A. 8C. 8D 9A. 10C 10B Garicano and Lastra (2010) 1A 2B 3A 4B 5A 6A 7E 8F 9D 10D Gauthier et al. 8B. 6C. 3I 4B 5A 6B. competition in a market with many securitization agents would temic events. 8C. Critics of securitiza- policies that aim to strengthen the vitality of the financial market. 3C 4A 5A 6B 7D 8A. as Acharya and Richardson (2009) argue. (2015) 1C 2A 3B 4A 5A 6A 7C 8A. (2014b) 1A 2A 3E. 9C 10B Georgescu (2015) 1C 2A 3A. 3D. (2012b) 1B 2A 3A. these authors on avarege. 3I 4E 5D 6B 7E 8B. 8B 9A 10D Iori et al. W. (2015) 1A 2A 3G 4E 5D 6C 7E 8F 9B. 8B. 8D 9B. 3G 4D 5C 6E 7C 8A 9A 10C Jobst (2013) 1B 2A 3G. 6D. 3F. 3H 4B 5A 6B. 3F. (2008) 1B 2A 3G 4A 5A 6B. (2016) 1B 2A 3A. In particular. 6H 7E 8F 9D 10D Han et al. (2016) 1B 2A 3B 4A 5B 6B. 3I 4E 5D 6B 7E 8B. according to Simkovic (2013). 8D 9B. (2015) 1B 2A 3G 4A 5A 6B 7D 8A 9B. 3D 4C 5A 6B 7A 8B 9B. Vallascas and Keasey process ends up limiting the ability of the investor to monitor risk. the share of non-interest income. 3G 4E 5D 6A. 2013) suggest that the complexity inherent in the Addressing the regulatory framework. 6G 7E 8A 9C 10A Freixas et al. 9C 10B Hawkins (2011) 1A 2A 3C. 6I 7E 8B. 9C 10B Härdle et al. 3H 4D 5C 6B 7D 8C. 8D 9A 10B Hirtle et al. 3C 4D 5C 6B 7B 8A. 6B 7E 8A. (2016) 1A 2B 3C. More specifically. 3E 4B 5A 6B. the very dynamics of requirements can enhance the resilience of financial entities to sys. 3I 4E 5D 6B. 3G 4A 5A 6B 7C 8A 9A 10B Huang et al. have lowered the safety standards in the pre-crisis period. 6D. 9C 10C Haldane and May (2011) 1A 2A 3A. 8D 9A 10B Giglio et al. Carbo-Valverde et al. The For Battaglia and Gallo (2013). 6H 7D 8C. 3C 4B 5A 6A. Thus. 3G 4E 5D 6B 7E 8A. 3I 4D 5C 6G 7D 8C. (2016) 1B 2A 3B. 8D 9A 10A Jinjarak and Zheng (2014) 1B 2A 3B. 3G. 9C 10B He and Chen (2016) 1B 2A 3C. 6D. 9C 10A Joseph et al. 3I 4E 5D 6B. 3I 4E 5D 6B 7E 8F 9D 10B Gravelle and Li (2013) 1B 2A 3B. (2016) 1C 2A 3C. in these authors’ risk transferring (ABS)”. Study Type Approach Object Scope Context Focus Period Data Method Results Félix et al. 3G 4A 5A 6B. 3E 4B 5A 6C 7B 8A 9A 10B Fernández et al. 3I 4E 5D 6F 7E 8A. 3G 4A 5B 6B 7A 8B 9C 10C Hippler and Hassan (2015) 1B 2A 3A. 6C. (2014) 1A 2A 3A. 3B 4A 5A 6B. 3E. 8D 9A 10B Grilli et al. 6D 7B 8A 9A 10A Jobst (2014) 1C 2A 3D. (2012) 1B 2A 3A. 3G. 6G. 8B 9A 10A Hasman (2013) 1A 2D 3E 4D 5C 6B 7E 8F 9D 10D Hausenblas et al. 7D 8A. 3E. (2015) 1B 2A 3B. 9C 10B Ghosh (2016) 1B 2A 3I 4D 5B 6B. (2015. 6I 7D 8C. 9B 10B Huang et al. 6C. 3G 4A 5A 6B 7A 8D 9A 10B Framstad (2004) 1A 2A 3B. 9C 10B Grira et al. 3H 4E 5D 6B 7E 8E 9C 10B Gao et al. 8D 9A 10B Horváth and Vaško (2016) 1B 2A 3A. financial . 6G 7C 8A 9A 10B Huang et al. (2009) 1B 2A 3C 4A 5A 6B 7C 8A 9A. 9C 10A Jacobs and Van Vuuren (2014) 1B 2A 3A. tion (Simkovic. 8D 9A 10B Idier et al. 8D 9A 10A Hu et al. (2016) 1B 2A 3B 4A 5A 6B. given Securitization and leverage are constituted as related prob- the occurrence of systemic events (Vallascas and Keasey. 3E 4D 5C 6B 7E 8F 9D 10B Gabbi et al. 8C 9A 10D Glasserman and Young (2014) 1C 2A 3E. 36) state the following: “a secu- minants of the risk exposure of a bank and that these elements ritization instrument that retains risk (covered bond) may induce a are not at the center of the new regulation. 6H. (2000) 1A 2B 3A. 6F. lems because. 6I 7D 8D 9A 10B Iori et al. (2016) 1B 2A 3B. 8D 9A 10B Jin and Nadal De Simone (2014a) 1B 2A 3A. 9C 10C Jin and Zeng (2014) 1A 2A 3C. 6I 7C 8A. 9C 10B Milne (2009) 1A 2C 3A 4B 5A 6A 7B 8A. Thus. (2015) 1B 2A 3B 4B 5A 6C 7C 8A 9A 10A Oort (1990) 1A 2B 3A 4E 5D 6B 7E 8F 9D 10B Oosterloo and De Haan (2005) 1A 2D 3A 4D 5C 6A. 8D 9A. (2007) 1A 2A 3D. implying competition encourages banks to diversify risk. 3G 4D 5C 6D 7D 8B 9C 10A Kara (2016) 1A 2A 3A. 6G. (2003) 1C 2A 3I 4B 5A 6C 7D 8A 9A 10A institutions were allowed to keep the securitized assets off. 8B 9A 10B Nier et al. 3C 4A 5A 6B. (2015) 1B 2A 3C. 8D 9A. on a global scale. 3D 4D 5A 6B 7D 8A. affects systemic risk in a robust negative relationship. 9C 10B Lombardi and Moschella (2016) 1A 2B 3A 4B 5A 6A 7E 8F 9D 10B López-Espinosa et al. 6I 7E 8F 9C 10A Piškorec et al. 3G. 3C. in an largely changed the banking system. 3G 4D 5C 6H 7D 8C. (2014) 1B 2A 3G 4A 5B 6B 7C 8D 9A 10C Mastromatteo et al. 8D 9C 10A Mayordomo et al. Increased Leverage increases the individual risk of banking firms. they conclude that in a mark-to-market context. 3G. (2014) 1B 2A 3B. 6D 7D 8C. which also enhances systemic risk. 3G 4A 5A 6B 7D 8A. For them. (2011) 1A 2A 3I 4E 5D 6F. 6I 7A 8A. in addition. 6C 7D 8A 9A 10A Petersen et al. 8E 9A 10A Poledna et al. 3G 4A 5A 6C 7D 8A 9A 10A Khashanah and Yang (2016) 1B 2A 3B 4A 5A 6C 7D 8A. Reversing the level of leverage. 3G 4A 5B 6B 7C 8A. and policies that restrict competition. (2014) 1B 2A 3B 4D 5C 6A. 6I 7D 8D 9D 10B Liao et al. (2015) 1B 2A 3A. 3E. 6I 7C 8A. 8D 9D 10B Milne (2014) 1B 2A 3C 4D 5C 6B. 3I 4B 5A 6B 7C 8B 9A 10A López-Espinosa et al. 3G 4D 5C 6B 7C 8B. 9C 10B King and Maier (2009) 1A 2B 3A 4E 5D 6E 7E 8F 9D 10B Krainer (2012) 1A 2B 3A 4A 5A 6A 7E 8F 9D 10D Kroeger (2015) 1A 2B 3A 4E 5D 6G 7E 8F 9D 10A Kupiec (2016) 1C 2A 3A. 3I 4D 5C 6B. 9C 10C Martinez-Jaramillo et al. 6H 7E 8F 9B. 9B. thereby ket dynamics during the pre-crisis period. 8B 9A 10C Lu and Hu (2014) 1A 2A 3F 4E 5D 6A 7E 8F 9A. additionally. 9C 10A Levy-Carciente et al. 6C. 8B 9A. 9C 10B Lupu (2015) 1A 2B 3A. (2015) 1B 2A 3B. (2012) 1A 2A 3G 4E 5D 6B 7E 8B 9C 10A May (2013) 1A 2B 3G 4E 5D 6B 7E 8B. 3E. banks have aimed environment where mark-to-market balance sheets are common. the literature would identify capital against the AAA-rated tranches of the securitized mort. regulatory changes and technological advances have the relationship between leverage and liquidity. (2015) 1B 2A 3B. statements. stability. 3E. 9C 10B Kanno (2015a) 1B 2A 3G 4A 5A 6B 7B 8D 9C 10B Kanno (2016) 1B 2A 3C. 8C. fragile in countries with weak private supervision and monitoring. (2013) 1B 2A 3A. / Journal of Financial Stability 28 (2017) 91–114 Table 7 Articles that compose the sample (continued). 8C 9A 10A Patro et al. 3C 4A 5A 6B 7C 8A. (2013) 1B 2A 3E. 3I 4A 5A 6B 7C 8A. Adrian and Shin (2009) study Wolff (2014). (2014a). 3C 4A 5A 6B. 9B. they were able to hold a reduced amount of financial instruments. In turn. (2015) 1C 2A 3A 4A 5A 6D 7D 8D 9A. bank competition also leverage is pro-cyclical. 3C. 3C 4E 5D 6B 7E 8B 9C 10B Kupiec and Güntay (2016) 1B 2A 3B. 8D 9A 10A Liang (2013) 1A 2B 3A 4A 5A 6A 7E 8F 9D 10B Liang (2016) 1A 2B 3A 4A 5B 6B.98 W. 6D 7D 8A. 9B. 6H 7C 8B. 3B. as a gages remaining on the balance sheets. For Papanikolaou and increasing systemic risk. 8C 9A 10D Lee et al. Banking systems are more 2014). 8B 9A 10D Mezei and Sarlin (2016) 1B 2A 3G 4B 5A 6A. 6D 7B 8A 9A 10D Marinč (2013) 1A 2B 3I 4B 5A 6B 7E 8F 9D 10A Martínez and León (2016) 1B 2A 3G 4A 5B 6B 7A 8B. Silva et al. 8B 9A 10B Madan and Schoutens (2013) 1B 2A 3H 4A 5A 6B. 3G 4E 5D 6B 7E 8D 9B. on the other hand. banks that focus on traditional lines of balance-sheet to avoid needing to hold capital buffers to guarantee business are less risky than financial institutions that trade modern them. the system less vulnerable to shocks. 9C 10B Lee et al. 9C 10B Oh et al. 6C. (2015) 1B 2A 3E 4A 5B 6B 7C 8D 9A. 3E 4C 5A 6B. 3D. 8B. Study Type Approach Object Scope Context Focus Period Data Method Results Kalemli-Ozcan et al. net worth and lead institutions to adjust the size of their financial 2014). the high leverage of financial institutions. all of which led to risky key factor in the severe structural weakness and the adverse mar- capital structures and an underassessment of credit risk. 8D 9C 10B Papanikolaou and Wolff (2014) 1B 2A 3B. cial to the health of banks individually but detrimental to financial more state-owned banks. 6F. 9C 10A Poon et al. 3E. 8D 9A 10A Kanno (2015b) 1B 2A 3C. . 3D 4A 5A 6B 7C 8A. 8D 9A 10B Lehar (2005) 1B 2A 3B. (2014) 1B 2A 3F. 3E 4A 5B 6B 7D 8D 9C 10C Li et al. to create new products and broaden their activities to areas of busi- adjustments in asset prices are immediately reflected in changes to ness that were previously not explored (Papanikolaou and Wolff. 8D 9A 10B Martinez-Jaramillo et al. For these authors. 3E. 8B 9A 10B Liu et al. According to Anginer et al. 3I 4B 5A 6G 7E 8F 9D 10B MacDonald et al. indirectly making higher vulnerability to financial shocks (Papanikolaou and Wolff. 8D 9B. (2016) 1B 2A 3C 4D 5C 6B. 6H 7C 8A. (2013) 1B 2A 3A. 3G 4D 5C 6C 7D 8A 9A. 6C 7A 8A 9A. 3D 4B 5D 6B 7E 8F 9C 10B Kerste et al. 8B 9A 10C Mühlnickel and Weiß (2015) 1B 2A 3H. in response. is benefi. 8D 9A. 3H 4E 5D 6B 7E 8B. 3I 4A 5A 6B 7D 8A. 9B 10D Ladley (2013) 1B 2A 3A. (2013) 1B 2A 3B. 6B 7E 8F 9D 10B Pagano and Sedunov (2016) 1B 2A 3C 4C 5A 6H 7C 8A. 6D. (2015) 1B 2A 3B. (2015) 1B 2A 3E 4C 5A 6B. 8D 9A 10B Paltalidis et al. (2010) 1B 2A 3E 4A 5B 6B 7A 8B. 9C 10C Nobi et al. (2013) 1B 2A 3B. 3F. In changes in a part of the system can affect others. 9C 10A Stolbov (2016) 1B 2A 3C 4A 5B 6H 7B 8A 9A 10C Straetmans and Chaudhry (2015) 1B 2A 3E 4B 5A 6B 7D 8A 9A 10D Suh (2012) 1B 2A 3C 4A 5A 6B. 9C 10B Walter (2009) 1A 2B 3A. (2014) 1B 2A 3C. 3E. 9B 10A Sedunov (2016) 1B 2A 3B 4A 5A 6B. 6D. 8D 9A. 6C. 9C 10A Quax et al. 9C 10B Vlahović (2014) 1A 2D 3A 4C 5C 6A 7E 8F 9D 10D Vodenska et al. 6C. 3I 4A 5A 6B. (2014) 1B 2A 3B. 8C. (2015) 1B 2A 3C. rich literature that analyses the impact of size. who analyze the relevance of measures of financial are not only large and widespread but also threaten trust in the mar- integration and globalization for real activity. 8C 9C 10A Schwaab et al. Therefore. Silva et al. According to risk taking. (2016) 1B 2A 3E. alization on banking crises and finds that greater banking sector Regarding the systemic importance of institutions. 3H. 3G 4A 5B 6B 7C 8B 9C 10B Yao et al. 6I 7D 8A. The results of the study show interconnectivity. (2015) 1B 2A 3I 4B 5A 6C 7D 8A 9A 10A Upper (2011) 1A 2A 3E. 3E. 3E. 3I 4B 5A 6B. 8B 9A 10B Roukny et al. to sovereign default risks. 6D 7C 8A 9A 10A Sandhu et al. 6G 7C 8A. 6G 7D 8B. 3C. 3I 4B 5A 6B. (2013) 1B 2A 3B 4B 5A 6I 7D 8A 9A 10B Reboredo and Ugolini (2015a) 1B 2A 3C 4C 5A 6H 7D 8A 9A 10C Reboredo and Ugolini (2015b) 1B 2A 3C 4C 5B 6H 7B 8A 9A 10C Rodríguez-Moreno and Peña (2013) 1B 2A 3B 4B 5A 6B. 3E 4A 5A 6B 7C 8B 9A 10B Vitali et al. This is coherent with Nicolò and connected banks are critical for financial stability since collapses Juvenal (2014). 3G 4B 5C 6B 7E 8B 9D 10D Tabak and Staub (2007) 1B 2A 3B. / Journal of Financial Stability 28 (2017) 91–114 99 Table 8 Articles that compose the sample (continued). 3I 4A 5A 6D 7B 8B 9A 10C Weiss et al. examples include the effects of the Lehman Brothers take risks drive risk-taking behavior. 3E. 6D. 3I 4D 5C 6B. 3G 4A 5B 6A 7B 8D 9C 10B Simpson and Evans (2005) 1B 2A 3B. 8C 9A. (2013) 1C 2A 3B 4E 5D 6F 7E 8F 9C 10B Silva et al. 3C 4B 5A 6B. (2016) 1B 2A 3C. and the exposure of European banks Ghosh (2016) examines the impact of financial services liber. 6H 7D 8A. 6I 7D 8D 9D 10B Walter (2012) 1A 2B 3A. 6E. (2016) 1B 2A 3D. 3C 4A 5A 6B. 3G 4A 5B 6B. 3E. 6I 7C 8A. 8C 9A 10B van Bekkum (2016) 1B 2A 3B. 3G 4E 5D 6B 7E 8E 9B. (2014) 1B 2A 3H 4D 5C 6B 7D 8A. 8D 9B. 3I 4E 5D 6B 7E 8D 9A 10A Zhu et al. 3D 4D 5B 6A 7B 8D 9C 10C Souza et al. (2016) 1C 2A 3C. there is a globalization diminishes their occurrence. 3G 4C 5A 6B. 6F 7C 8A. 3I 4C 5A 6B 7A 8B. 3G. 8D 9C 10D Vallascas and Keasey (2012) 1B 2A 3A. 6I 7C 8C. 9B. 6G. 3E. 3E 4D 5C 6B. 6I 7D 8A 9A 10C Summer (2003) 1A 2D 3A 4E 5D 6B 7E 8F 9D 10B Summer (2013) 1A 2D 3E. 6H 7A 8A 9A 10B van den End (2009) 1B 2A 3D 4A 5A 6B 7A 8D 9A. ket. 3H 4C 5C 6B 7D 8A. 3G 4D 5C 6B. 6I 7C 8B. 3G 4B 5B 6B 7B 8D 9C 10C Stein (2011) 1C 2A 3A. 8C 9A 10B These researchers conclude that the negative effect of the lack Exploring another aspect. 3I 4C 5A 6B 7D 8B. 6D. 3I 4A 5B 6B 7B 8A. critical states that financial liberalization increases bank risk taking. 8B. 6I 7D 8A 9A. (2016) 1B 2A 3C. 3I 4A 5B 6B 7A 8B 9C 10B Yaqoob and Khan (2011) 1A 2D 3A 4E 5D 6A 7E 8F 9D 10B Zheng et al. (2013) 1B 2A 3E. complexity. 6I 7D 8A. 3D.. the failure of AIG. Cubillas and González (2014) plex network of connections among financial organizations. For Arinaminpathy et al. 6C. 3G 4B 5A 6B 7D 8A 9A 10A Singh et al. 6D. (2015) 1B 2A 3E. new opportunities to these authors. whereas in developing countries. strong competition among banks increases threat to the financial instability of the entire system. 6I 7B 8F 9D 10B Xie et al. 3G 4B 5C 6B 7E 8B. 6H 7D 8A. 3I 4E 5D 6B 7E 8F 9D 10D Wymeersch (2010) 1A 2B 3A 4C 5A 6A. 9C 10B Saldías (2013) 1B 2A 3C. factor in understanding the recent financial crisis: Due to the com- 2014a). 3E 4A 5B 6B 7D 8D 9C 10B Souza (2016) 1B 2A 3A. for the composition of that foreign bank presence implies stronger financial stability in the systemic risk. 3I 4A 5A 6C 7D 8A 9A 10B Zhou (2013) 1A 2A 3A. 6C. 8D 9A 10B Zigraiova and Jakubik (2015) 1B 2A 3B 4B 5C 6G. 8C 9C 10A Tsenova (2014) 1C 2A 3A. 8C. 8C. (2012) 1B 2A 3B. 8D 9A 10A Wilson et al. Study Type Approach Object Scope Context Focus Period Data Method Results Pourkhanali et al. 8D 9A. 9C 10C Uechi et al. (2010) 1A 2D 3D. 8B. while bank asset con. (2016) 1C 2A 3B 4A 5A 6C 7D 8A 9C 10A Sarlin and Peltonen (2013) 1B 2A 3I 4D 5C 6B. large and well- financial system of host nations. 8B 9A 10D Rösch and Scheule (2016) 1B 2A 3B. 3I 4A 5B 6A. (2012). bankruptcy. 9B 10B van den End and Tabbae (2012) 1B 2A 3D. placing tougher capital requirements on big banks . (2012) 1B 2A 3B. (2013) 1B 2A 3D. (2016) 1B 2A 3B 4D 5C 6C. (2015) 1B 2A 3C 4A 5B 6B. 8D 9A 10C Souza et al. 8D 9A 10D Shiller et al. and centration increases their likelihood. in particular on banks. 8B. 8C 9A. Consistent with this finding. 8D 9A 10A Schoenmaker and Siegmann (2014) 1B 2A 3A. 6I 7E 8F 9D 10B Weiss and Mühlnickel (2014) 1B 2A 3F. (2015) 1B 2A 3C 4C 5A 6B 7C 8A 9C 10B Solorzano-Margain et al. 8D 9A. W. 6I 7D 8A. 6F. 3F. 3E. Glasserman and Young (2014) con- of competition may be mitigated by an institutional environment sider the interconnectivity of the modern financial system as a key that enables efficient public and private monitoring (Anginer et al. 6D 7D 8A 9A 10B Puliga et al. representing a developed countries. 3I 4A 5B 6B 7A 8B. 9C 10C Terzi and Uluçay (2011) 1A 2B 3C 4E 5D 6I 7C 8D 9D 10B Tian et al. 3G. 8C. (2011) use the absorp- Even without a precise definition. For this author. typically constructed using a weighted sum of indicators tionnaires) and literature reviews. be measured? Once there are different starting points for systemic Several authors. traditional regulatory meas.. 2013). for regulatory use. and the stock. the money market. Bloomberg FCI. assets issued by banks are especially elling as not robust and excessively volatile. Because these stress measures depend on factors for determining whether a bank is systemically relevant and the selection of criteria and the use of financial variables. / Journal of Financial Stability 28 (2017) 91–114 can improve the resilience of the system. and the Kansas Fed Financial Stress Index. systemic financial failure due to their size. (2012) designate 31 quantitative meas- according to which counterparties of insolvent covered firms may need ures of systemic risk. Bank for International a single financial stability policy instrument can be universally Settlements (BIS). (2014a) follow this same system taking into account data from the markets (Huang et al. The results of classification according to items 1 and 2 are sum- Regulators generally focus on indicators related to the finan. the fact that it is unlikely that a single systemic risk measure or The joint 2009 report by the IMF. for example. 2012). (2013) use the Mahalanobis distance metric. by their turn. times of crisis. line. which third parties fund the protection. a single systemic risk measure may be neither lag. has weight on scenarios where stress affects many markets simulta- become an important public policy debate and. 5. such as balance sheets and liquidity indicators. with a conditional analysis of the VaR of a single bank using quantile regressions. Kaufman (2014). securities. when checking for possible bank weaknesses. and Patro ious definitions that complement each other and make it possible to et al. Concentration. According to Holló et al. Khandani and Lo (2008) and Hu et al. complexity. (2012). Segoviano and Goodhart (2009) make use to be protected to minimize collateral damage. and interconnectivity would stress occurs when market participants experience great uncer- significantly disrupt the financial system. (2013). there are several elements that are present in the var.3. Moreover. Measuring systemic risk cial sector. 2009). marized in Table 9. and Financial Stability Board (FSB) proposes applicable. Furthermore. he states useful to monitor since the market prices of securities can impact that. components of the correlation matrix of assets returns. has not been concluded due to disagreements Many other forms of systemic risk measurement are found in about definitions. Market information can be followed up at a very from inadequacy in the allocation of capital and frequent portfolio high frequency and can complement traditional balance sheet data rebalancing (Daníelsson. shocks. (2013). and substitutability to mea- sure the systemic importance of an enterprise (IMF-BIS-FSB. 221). currencies markets – taking into account the cross-correlations 2014). Kritzman and Li (2010) and Li et al. sub-indices that represent the most important segments of the ity (cross-jurisdiction). and According to Rodríguez-Moreno and Peña (2013). such as Patro et al. “Too Big To Fail” institutions (TBTF). information can provide early signs for banks that must be better ures have focused on information from bank balance sheets. complex. how can systemic risk tutions as a systemic risk indicator. The CISS aggregates five In addition to the three factors noted above and their global activ. use liquidity measures. Ellis et al. with considerable and therefore. because the balance information general turmoil in the financial system can have multiple causes. (2009). performance is sensitive to their causes. There are only a total of eight survey-type studies (ques- ditions. (2002). these models therefore act more as placebos prices is always forward looking. seek information only on asset prices to assess systemic risks are necessary (Abdymomunov. and Conditions) as criteria for determining the sys- temic importance of a firm. However. interconnectedness. et al. In banking. Results of the literature analysis Correlation. . risk. because it is a field of study in tion ratio. such as scrutinized. indicators for size. 2012). liquidity. tainty and change their expectations on future losses. between sub-indices over time.. studies and the massive presence of studies with a quantitative There are still many indices of more comprehensive financial con. The CISS places relatively more Another concept. The European Central Bank publishes the Composite Indicator Systemically Important Financial Institutions (SIFIs) are defined of Systemic Stress (CISS). which shows the predominance of empirical cial health of banks. the Basel Committee includes banks in this financial system – namely. it is increasingly relevant to monitor the health of the financial appropriate nor desirable. 2002). diversity within the financial system also supports 2009). Thomson (2009) proposes the four Cs (Contagion. (2013) and Kritzman et al. Bisias et al. caused directly or indi. distinct approaches to defining and measuring systemic (2011). these effects or a principal components method. then analyzing early warning metrics analysis performed during times of stability would not be useful in such as stock prices can convey relevant information. of the multivariate density of the adjusted portfolio tail financial rectly by the failure.. what reason” (Kaufman. In addition. The market can play a particularly useful ing information about risk and even increase both idiosyncratic role in disciplining the risk of large. and international- and systemic risk. For Gropp et al. and for sector companies. and cial infrastructure that they provide (Banulescu and Dumitrescu. However. the primary purpose is to monitor the ongoing systemic risk level market data are endogenous to market behavior. the proportion of non-performing loans. is available only a few times during the year.100 W. Daníelsson (2002) views Value-at-Risk (VaR) mod. 2014. periods of capital adequacy ratios. harming economic activ. p. Adrian and Brunnermeier (2010) measure the Value-at-Risk (VaR) of the finan- 4. the banking and non-banking interme- category if there are no readily available substitutes for the finan. According to Patro et al. market In the view of Huang et al. the information reflected in asset regulatory structures. Therefore. profitability. according to neously and is therefore more systemic (Holló et al. definitions vary widely and “differ the literature. for them. asset values. The Basel Committee on Banking Supervision classifies useful and economic activity. (2013) use the correlations of stocks returns of financial insti- understand what systemic risk is. Silva et al. diaries sector. this type of analysis may provide mislead. if than as a scientific means of preventing crashes. approach. and statistical to preclude systemic losses. (2012) use the growth rate of the principal development. imposing costs on financial institutions arising ized organizations. Kritzman et al. ity. the funding cost of banks. These prices have the advantage of being easily accessible According to Daníelsson (2002). which uses both market and super- by Banulescu and Dumitrescu (2014) as institutions whose chaotic vision data. Zheng et al. their the exact factors of systemically fundamental global banks (G-SIBs). would be more pronounced in less diluted systems (Arinaminpathy Goldman FCI. a growing body of evidence compared to others related to the balance sheets and financial indi- exposes the limitations of risk-modelling technology and imperfect cators of companies. not surprising. and modelling risk (three articles). shadow banking. In strategies (five articles). Only one object was assigned to 103 articles. complexity. Quantitative 167 Theoretical and empirical. central bank transparency. It is important to note that the object “regulation” encom- passed a range of issues related to the actions of regulatory bodies and supervisory practices. two objects to 96 articles. . This fact reveals greater attention from researchers in future studies. deposit insurance. 55 Size of institutions. not only in their own petition” were addressed in only 19 articles and may deserve economies and markets but also internationally. monetary policy tion or were theoretical articles. A total of 33 articles addressed the governance. The most relevant object(s) of each article were isolated. given the nature of the subject and the search criteria. 165 gulation (two articles). 3. “contagion” and “intercon. bank quency are shown in Fig. mark-to-market/valuation (three articles). studies in this classification discussed aspects of regula- articles). securitization and prolifera. and 10 objects to only nine articles. The lower frequency is observed. and the impact of information technology (IT). accountability. • Object: Table 10 shows the classification of the sample accord- ing to item 3 (Object of Study). 54 Concentration/diversification/competition. bank liquidity creation. 14 Interconnectivity/interdependence. (addressed in 10 articles). • Focus: The various focuses of the articles (item 6) and their fre- tion/complexity of financial instruments (six articles). “interconnectivity/interdependence”. corporate governance. 53 Credit risk/default/counterparty/sovereign. that studies related to only one country are greater in number. international financial integration (three articles analyzed only one type of institution/market segment. Despite the “too interconnected to fail” reveals the greater weight given greater systemic importance of financial institutions in devel- by researchers to the latter as a systemic risk factor. which is Fig. NSFR (Net Stable Funding Ratio). and funding. • Scope: This item is summarized in the graph below (Fig. conglomeration/consolidation (five general. Study type Type of approach Number of articles Theoretical. articles). “credit risk together with default. 46 Liquidity risk. Survey/review 8 Empirical. three objects to 57 arti- cles. mark-to-market. Basel Accords. Qualitative 35 Theoretical. / Journal of Financial Stability 28 (2017) 91–114 101 Table 9 Classification according to items 1 and 2. prepayment risk. 4. W. capital allocation. debt Table 10 Classification according to item 3. Note nectivity/interdependence” were also numerically noteworthy. There were a large number of articles that address aspects of regulation. Silva et al. The item regarding the “size of the The great predominance of research on developed countries institutions” appeared with a lower weight. Mixed 1 The results for each category analyzed are presented next. instabilities in the financial systems of emerging “concentration” and the related items “diversification” and “com- countries also have an important impact. Context of the articles. regulatory ratio. overlapping portfolios. which indicates a strong • Context: This item is summarized in the graph below (Fig. compared to the concept of concentration of researchers in these countries. Scope of the articles. given the high of the concept of “too big to fail”. this finding is to be expected. taxation. counterparty and sovereign risks”. The objects “market risk”. an opportunity to perform a larger number of studies that address The item “Others” includes topics such as leverage/derivatives countries that are considered undeveloped. coordi- nation mechanisms. in addition. ratios. 3). among others. Of those that focused only on specific institutions. 71 Market risk. market efficiency. 23 Contagion. Quantitative 29 Theoretical. further topics include bubbles. 5. regulation credibility. 15 Others. which also used the expression “financial stability”. even if they had a quantitative (five articles). The item oped countries. dere- approach. 56 Fig. including the following: actions by central banks. Mixed 4 Theoretical. limits to the performance of financial institutions. Quantitative 22 Theoretical and empirical. A total of 33 articles simultaneously addressed “contagion” and Blocks and regions have been less studied. 4). Object Number of articles Regulation. including executive compensation and performance financial system and financial institutions in a generic manner. link between these objects. confidence/sentiment (five articles). /Simulation & Mathematical Model./ Multivariate An. These were followed by mortgages/real estate markets. while 68 analyzed more than one type. 1 Mathematical Modelling. The item “Others” included the remaining institutions. 15 Econom. 40 be observed that other methods have been used much less . including those that analyze banks and other institutions using a cross-country approach. 6. A longer perspective for theoretical Classification according to item 9. 46 50 From balance sheet./ Multivariate An. & Mathematical 22 • Methods used: Item 9 (methods used) is summarized in Table 12. Emphasis is given to econometric.. 31 44 • Period studied: Item 7 (period studied) is shown in the graph Not applicable./ Multivariate An./Stat. 14 46 events related to sovereign debt in the eurozone and their strong Macroeconomic. in conjunction with other types of methods considered). which shows that market and regulator data Computational/Simulation. i. & 5 analytical methods. An example is the recent From market. Model. statistical. and credit card companies. and multivariate Comput. From regulators. Econometric/Statistical/Multivariate Analysis. Comput. – 34 impact on regional and global economic and financial stability. Econom. 6). which were studied in 27 articles. 40 prevail when the articles use only one type of data. a compar. There is room for a greater number of articles that focus on investment funds and mortgages given the importance that they have for systemic stability. It is important to remember that it was the bursting of the mortgage bubble that precipitated the finan- cial crisis of 2007. Next were the insurers. A total of 31 articles focused on a particular country./Stat. with 152 studying five years or more and only 16 Table 12 studying less than two years. The stock market was also the focus of study in 44 articles. which were used in 170 articles (alone or Comput. Banks were prominent and were studied in 174 of the 266 articles. 35 – below (Fig. Table 11 ison of the events in each country. Articles that analyze risk from the perspective Fig. risk numbered only 11. It can Not applicable. Econom. Although the emphasis on banks is understandable given the impact that they have on sys- temic financial risk. Focus of the articles. 5. & 9 there is greater balance when data types are used in combination. and investment funds/hedge funds in six articles. Articles that study sovereign Classification according to item 8. generally in conjunction with the financial institutions themselves. however. studies may be necessary to compare consecutive crisis periods and periods of stability. The impact of systemic financial risk on non-financial institutions (or vice versa) was studied in 29 articles./Simulation with less emphasis on macroeconomic data./Stat. suggesting a large research gap in the Type of data Articles – one type Articles – multiple types literature sample given that problems related to sovereign debt significantly affect financial stability. money market. such as exchange brokers. of countries totaled 31.e. clearing houses./Simulation & Mathematical Model. Silva et al. which were analyzed in 11 articles. Methods used Number of articles • Types of data analyzed: Item 8 (types of data analyzed) is summa.102 W. It is notable that the researchers chose to study longer periods. 134 rized in Table 11. Period studied in the articles. / Journal of Financial Stability 28 (2017) 91–114 Fig. there may also be opportunities for greater diversification so that other types of institutions are addressed. network models. correlation analy. considered in the literature on systemic financial risk.. message-passing algorithms. given the nature of the subject. financial index stress. expected systemic losses. particularly simulation methods. the support vec- tor machine (SVM). it is remarkable that in the literature. the China Financial Stress Index (CFSI). and random matrix theory. LIBOR spreads. catalytic reaction mod. extreme downside risk. the News Cohesiveness Index (NCI). / Journal of Financial Stability 28 (2017) 91–114 103 frequently. Loss Given Default (LGD). the contagion index for each node (on a network). Articles strongly based on the literature or that replicate studies in other Table 13 Classification according to item 10. which is easy to understand. Several articles analyzed the contribution of individual insti- tutions to systemic risk. the Degree of Total Leverage (DTL). Some auxiliary models used included the Merton credit risk model (nine arti- cles). the Implied Systemic Cost of Risk (I-SCOR). Comparative studies in which two or only 30 articles and often in conjunction with other methods. which were used in contexts are dominant. the systemic risk index based on the value of assets (SIV). 2013. the Correlation Response Index (CRI). institutions and their relationship with systemic risk. more other studies and/or methods are compared are fewer. However. . els (two articles). proposed by Adrian and Brunnermeier (2010). Volatil- ity of Volatility (VoV). studies using computer (GDR) (two articles). when analyzing the results of classification of the regressions (60 articles). the Information Dissipation Length (IDL). It is also noted that the literature on the subject autoregression (VAR) (11 articles). asymmetric dynamic covariance (ADC) models. A variety of methods were used. some aspects may be high- item “mathematical modelling” (34 articles). The systemic risk measures used included: Conditional Value- at-Risk (CoVaR). Results Number of articles New perspectives. 2014. Weiss and Mühlnickel. absorption ratio and the systemic importance score. stochastic optimal control. used or dis- cussed in 12 articles. game theory. 127 Replication to a different context or period. component VaR. and the Jaccard index matrix (3 articles). distance to default. Madan and Schoutens. and portfolio analysis. ric methods or other statistical techniques or multivariate analysis. curvature. extreme value theory (EVT) (12 articles). 24 Fig. Kupiec and Güntay (2016). Marginal Expected Shortfall (MES). vector emerging markets. partial equilibrium models. particle physics. quantile. Ricci ures (Li et al. factor seem to be relatively few studies that involve bank concentration models (principal component analysis (PCA). lighted that reveal gaps and opportunities for future studies. entropy models (two articles). discriminant and and its impact on systemic financial risk. There sis (13 articles). among others. and probit In general. the measure of joint default. GARCH models (15 articles). Credit Risk Devia- tion (CRD). the Sec- tor Diversity Index (SDI). incre- mental VaR. Credit Default Swap (CDS) spreads (10 articles). no article proposed using the systemic risk indices built for stress tests in asset portfolios. proposed by Brownlees and Engle (2010). however. and systemic VaR (five articles). Hirsch index. among others. including from other fields of Some works compare estimates of two or more systemic risk meas- study. Catastrophic risk in the Financial sector (CATFIN). logit. VaR – including quantile VaR. The same can be said for cluster analyses) (12 articles). the self-organizing financial stability map (SOFSM). Shapley value (five articles). used or discussed in 23 articles. Monte Carlo simulation (four articles). vector error correction (3 articles). els. W. epidemic model. The following meas- ures were also found: the Lerner index. Other models were also used. the number of bank failures. this finding may also consistent information multivariate density optimizing (CIMDO) reveal an opportunity for further studies of other types of financial (3 articles). Silva et al. • Results: Item 10 (Results) is presented in Table 13. Mayordomo et al. 7. 2013. 75 Consistent with previously published literature. the Kalman filter. the house price index. and Vasicek model (KMV). 2014). the sector dominance ratio. and some proposed stress tests for institutions. balance sheet ratios. the Joint Probability of Default (JPoD). 40 Comparative study. group debt rank Diverse methods are used. Emphasis was given to the fol- lowing: regression – including multiple. Kealhofer. however. is focused on banking institutions. and tail dependence (3 articles).. Network of links (General). tail beta. Collateralized Debt Obligations (CDOs). copulas (five articles). agent-based mod. McQuown. the Distress Insurance Premium (DIP) (2 articles). volatility. coherent measures (3 articles). simulations are far fewer compared to studies using economet- among others. the references of 398 articles were were not included in the sample. Network links.e. the composition criteria of which analyzed.. i. phies. define a statistic to evaluate systemic risk and Web of Knowledge were included. the were available for download on Scopus and Web of Science were major research networks and the evolution of the discussion on also reviewed. when analyzing This process made it possible to measure the importance of each this new set of articles. / Journal of Financial Stability 28 (2017) 91–114 using daily stock returns. . 8. Ultimately. Some articles from 2012 relationships between articles were sought by analyzing the cita. After this round of recording using CoVaR and MES.104 W. In a final round of refinement. and citations were checked for a total of 3925 articles. More specifically. The reference lists of articles from 2015 and 2016 that tify the mainstream in systemic financial risk research. Given the profusion of systemic risk meas. Thus. proceeding again to the scrutiny of the bibliogra- indicators and methods proposed in the studies. A final round of analysis of the articles that were systemic financial risk over time. was explained at the beginning of Section 4. Thus. Thus. an analysis of the least seven listed articles and that were not yet on the list were citations of each article in the sample was performed to iden. articles not cited by other by the references of the researchers in the area. Main and secondary networks. citations because the period in which they had to be cited was It was possible to confirm that a large number of important articles relatively smaller. the papers already cited and those that cited article not only by the number of easily verifiable citations but also them were identified. onwards were included even without reaching the total of eight tions between these articles and the other studies that they cited. the citations of the selected manuscripts. It also made it articles in the sample itself were excluded. Fig. and the articles not yet possible to construct the citation networks. Silva et al. there is still a large amount of four times by their listed peers and those that were still not on the room for conducting studies that compare the effectiveness of the list were included. articles that were cited by at To supplement the results presented above. within the initial sample. maintaining the present in the sample and that had at least five citations in Scopus criterion of a minimum number of citations between pairs of the list Fig. included. the articles cited at least ures in the literature in recent years. 9. cited eight or more times was performed. and systemic risk. 18 Freixas and Parigi (1998) Contagion and efficiency in gross and net interbank payments system. 37 Lehar (2005) Measuring systemic risk: a risk management approach. 29 Borio et al. Fig. Analysis of the main research path also requires that the generated network of citations be acyclic. 26 Freixas et al. (2007) Network models and financial stability. tive articles that cite them served as inputs to the free software Pajek. 51 Brunnermeier and Pedersen (2009) Market liquidity and funding liquidity. 24 Allen and Gale (2000a) Financial contagion. facts. 39 Mistrulli (2005) Interbank lending patterns and financial contagion. of 398 scrutinized papers. . chronological order of publication. net worth and business fluctuations. This selection criterion enabled In Fig. 4 Bernanke (1983) Non-monetary effects of the financial crisis in the propagation of the great depression. liquidity and central bank policy. (2005). are they related? 31 Borio (2003) Towards a macroprudencial framework for financial supervision and regulation? 32 Furfine (2003) Interbank exposures: quantifying the risk of contagion. 41 Allen and Gale (2007) Understanding financial crises. 23 Allen and Gale (2000b) Bubbles and crises. they are numbered according to the studies. the construction of figures (Figs. 19 Holmström and Tirole (1998) Private and public supply of liquidity. and the real sector. 16 Holmstrom and Tirole (1997) Financial intermediation. 2 Bryant (1980) A model of reserves. 8 Gorton (1988) Banking panics and business cycles. 6 Diamond (1984) Financial intermediation and delegated monitoring. 5 Diamond and Dybvig (1983) Bank runs. financial and monetary stability. For details on Pajek. liquidity creation. and liquidity provision by the central bank. 30 De Nicolo and Kwast (2002) Systemic risk and financial consolidation. as described below. reciprocal citations or citations in a closed chain are not allowed for Table 16 lists the articles that compose the main research path. the list of studies to be representative but not so extensive as to Fig. 25 De-Bandt and Hartmann (2000) Systemic risk: a survey. 15 Calomiris and Mason (1997) Contagion and bank failures during the Great Depression: the June 1932 Chicago banking panic. Fig. 10 Calomiris and Gorton (1991) The origins of banking panics: models. (2002) Asset prices. (2001) Procyclicality of the financial system and financial stability. W. (2009) Liasons dangereuses: increasing connectivity. 40 Elsinger et al. 50 Brunnermeier (2009) Deciphering the liquidity and credit crunch 2007–2008. 13 Kaufman (1994) Bank contagion: a review of the theory and evidence. 35 Cifuentes et al. character of the articles. In addition. 45 Upper (2007) Using counterfactual simulations to assess the danger of contagion in interbank markets. Figures built with the as viewed by the researchers in the area. Fig. 9 and 10). 36 Diamond and Rajan (2005) Liquidity shortages and banking crises. Darker lines represent a greater link between the research are listed in Tables 14 and 15. 7 Bhattacharya and Gale (1987) Preference shocks. interbank relations. 20 Sheldon and Maurer (1998) Interbank lending and systemic risk: an empirical analysis for Switzerland. 21 Diamond and Rajan (1999) Liquidity risk. 10 provides a view of the importance of each study within make it difficult to analyze the data and/or dilute the “reference” the field of research on systemic financial risk. i. 9. Mrvar and Batagelj (2014) and DeNooy et al. 17 Allen and Gale (1998) Optimal financial crisis. see to the method described above. (2006) Risk assessment for banking systems. which 5. these networks are separated. purple (main) and blue (sec- of the figures (point vertices). 11 Calomiris and Kahn (1991) The role of demandable debt in structuring optimal banking arrangements.e. the final list of 132 articles was reached. bank runs and deposit insurance. risk sharing. 11 shows the evolutionary path of the main research net- The list of items and the table of articles cited versus the respec. 9 Bernanke and Gertler (1989) Agency costs. an additional 18 articles were removed for demonstrating reduced which correspond to the major vertices. 7 presents Table 17 shows a classification that allows aspects of the studied the network of citations of the articles. articles to be compared. the articles are importance in relation to the other articles in the first construction divided into two research networks. (2005) Liquidity risk and contagion. 44 Nier et al. 8 shows the most cited articles between the pairs in the list. 14 Rochet and Tirole (1996) Interbank lending and systemic risk. The 102 articles ondary). a result found according help of this software are shown below. 47 Battiston et al. / Journal of Financial Stability 28 (2017) 91–114 105 Table 14 Articles considered in the research on systemic financial risk. N. and financial fragility.1. 38 Leitner (2005) Financial networks: contagion. 46 Adrian and Shin (2009) Liquidity and leverage. work. 12 Shleifer and Vishny (1992) Liquidation values and debt capacity: a market equilibrium approach. 22 Kaminsky and Reinhart (1999) The twin crises: the causes of banking and balance of payments problems. 28 Borio et al. deposit insurance and liquidity. (2000) Systemic risk. loanable funds. panics and crashes: a history of financial crises. 42 Degryse and Nguyen (2007) Interbank exposures: an empirical examination of contagion risk in the Belgian banking system. 3 Stiglitz and Weiss (1981) Credit rationing in markets with imperfect information. and private sector bailouts. 27 Acharya (2001) A theory of systemic risk and design of prudential regulation. commitment. Reference Article’s title 1 Kindleberger and Aliber (1978) Manias. 43 Mistrulli (2007) Assessing financial contagion in the interbank market: maximum entropy versus observed interbank leading patterns.. 48 Segoviano and Goodhart (2009) Banking stability measures. 33 Upper and Worms (2004) Estimating bilateral exposures in the German interbank market: is there a danger of contagion? 34 Wells (2004) Financial interlinkages in the United Kingdom’s interbank market and the risk of contagion. 49 Allen and Babus (2009) Networks in finance. Chronological ordering is required to use the software. Silva et al. and bank regulation. 59 May and Arinaminpathy (2009) Systemic risk: the dynamics of model banking systems. contagion and financial networks: a survey. 69 Acharya et al. 55 Adrian and Brunnermeier (2010) CoVaR. (2012) Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Of the other studies. (2005) use stress tests. 90 Elliott et al. (2016) Evaluating systemic risk using bank default probabilities in financial networks. 81 Huang et al. Two articles related subjects. four are analytical. (2014) The multiplex structure of interbank networks. Three of these are classified as reviews pose are varied. 72 Bisias et al. 64 Gai et al. (2014) Mapping the UK interbank system. 91 Glasserman and Young (2014) How likely is contagion in financial networks? 92 Langfield et al. 77 van Lelyveld and in’t Veld (2012) Finding the core: network structure in interbank markets. N. 75 Fricke and Lux (2014) Core–periphery structure in the overnight money market: evidence from the e–MID trading platform. The measures and methods that are used for this pur. six use mathematical for the financial system as a whole. 56 Brownlees and Engle (2010) Volatility. the vast majority of the articles address some ics that have occurred since the nineteenth century. 71 Billio et al. correlation and tails for systemic risk measurement. analyze global data. each article opts for a method to make crisis. (2013) Cascading Failures in Bi-partite Graphs: model for systemic risk propagation. (2011) Complexity. (2016) TENET: Tail-Event driven NETwork risk. three focus only on the importance or the systemic risk attributed to a specific institu. and the and five articles analyze data from European countries. 87 Bargigli et al. (2014) An empirical study of the Mexican banking system’s network and its implications for systemic risk. (2011) Systemic risk contributions. pre-2008 crisis period. From there. 76 Gauthier et al. 88 Bernal et al. and they mainly address bank runs and panics and in this regard. 68 Upper (2011) Simulation methods to assess the danger of contagion in interbank markets. No article analyzes emerging markets. (2012a) Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis. 85 Rodríguez-Moreno and Peña (2013) Systemic risk measures: the simpler the better? 86 Roukny et al. (2014) Financial networks and contagion. 82 Acemoglu et al. 67 Mistrulli (2011) Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns. 101 Sandhu et al. (2012) A survey of systemic risk analytics. one involves mathematical and network modelling. 95 Hautsch et al. 53 Haldane (2009) Rethinking the financial network. and one involves . (2014) Assessing the contribution of banks. 58 Gai and Kapadia (2010) Contagion in financial networks. Calomiris and Gorton (1991) review bank pan- risk. 83 Girardi and Ergun (2013) Systemic risk measurement: multivariate Garch estimation of CoVaR. / Journal of Financial Stability 28 (2017) 91–114 Table 15 Articles considered in the research on systemic financial risk (continued). and ten analyze data that include the 2008 tion. 102 Souza et al. (2012) Heterogeneity. (2016) The credit quality channel: modeling contagion in the interbank market. Reference Article’s title 52 Brunnermeier et al. the FED and systemic risk. (2012b) DebtRank: too central too fail? Financial networks. (2012) Capital shortfall: a new approach to ranking and regulating systemic risks. 84 Huang et al. 60 Tarashev et al. (2016) Ricci curvature: an economic indicator for market fragility and systemic risk. 98 Härdle et al. The oldest articles in this sample of 27 articles date from the mostly banks – three papers classified as reviews are more generic 1970s to 1980s. 96 Civitarese (2016) Volatility and correlation-based systemic risk measures in the US market.106 W. theoretical and empirical. 97 Fink et al. (2013) Default cascades in complex networks: topology and systemic risk. (2012) Changes in cross-correlations as an indicator for systemic risk. 94 Chinazzi and Fagiolo (2015) Systemic risk. (2010) Attributing systemic risk to individual institutions. 93 Martinez-Jaramillo et al. 62 Brunnermeier et al. (2013) Systemic risk and stability in financial networks. Starting in 2000. 65 Haldane and May (2011) Systemic risk in banking ecosystems. eight articles (see Table 17) study the systemic nineteenth century. Silva et al. (2015) Financial network systemic risk contributions. It is important to note that only models. (2016) A financial network perspective of financial institutions’ systemic risk contributions. nine articles use data from the United States. ing elements of financial stability begin to be incorporated. (2012) Macroprudential capital requirementes and systemic risk. 78 Zheng et al. 99 He and Chen (2016) Credit networks and systemic risk of Chinese local financing platforms: Too central or too big to fail? 100 Huang et al. Regarding articles begin to focus on methods of measuring systemic financial the study period. correlation and financial contagion. insurance and other financial services to systemic risk. concentration and contagion. attributions to institutions in terms of their weight in the risk to Fifteen articles can be classified as theoretical and one is both the system. 57 Craig and von Peter (2010) Interbank tiering and money center banks. and Allen and method of measuring systemic risk. 89 Diebold and Yilmaz (2014) On the network topology of variance decompositions: measuring the connectedness of financial firms. 61 Zhou (2010) Are banks too big to fail? Measuring systemic importance of financial institutions. 54 Acharya et al. other strik. Seven articles propose aggregate risk indicators or comparative analyses. such as liquidity problems. 79 Battiston et al. 70 Arinaminpathy et al. The focus of these articles is involves statistical and mathematical modelling. (2012) Size and complexity in model financial systems. From this similarity. 66 Huang et al. one Elsinger et al. (2010) Measuring systemic risk. (2012) Network structure and systemic risk in banking systems. (2012a) Default cascades: When does risk diversification increase stability? 80 Battiston et al. 73 Caccioli et al. Gale (2007) analyze financial crises that have occurred since the Interestingly. 74 Cont et al. 63 Drehmann and Tarashev (2011) Systemic importance: some simple indicators. (2009) The fundamental principles of financial regulation. (2011) Banks’ non–interest income and systemic risk. and diversification. Simulation. 17 Brunnermeier et al. Not applicable. Not applicable. 12 Degryse and Nguyen (2007) Empirical. (2016) Ricci curvature: an economic indicator for market fragility and systemic risk. Financial intermediation Mathematical modelling. Not applicable. Contagion. 4 Calomiris and Kahn (1991) Theoretical. (2014) Financial networks and contagion. World. 25 Elliott et al. 26 Chinazzi and Fagiolo (2015) Systemic risk. Descriptive-analytical. Europe. counterparty risk. XIX a XXI. Micro vs macro–regulation. Secs. XIX e XX. bank. 1998–2013. Europe. USA. 1989–2002. contagion and financial networks: a survey. 2 Diamond (1984) Theoretical. Mathematical modelling. Not applicable. Callable debt. Contagion and Mathematical and network Not applicable. 1993–2002. (2011) Systemic risk contributions. Article Type Theme/Main Object Method Scope Period 1 Diamond and Dybvig (1983) Theoretical. 10 Borio (2003) Theoretical. Not applicable. modelling. 13 Allen and Gale (2007) Theoretical. 14 Brunnermeier (2009) Theoretical. (2014) Empirical. Contagion. 12 Degryse and Nguyen (2007) Interbank exposures: an empirical examination of contagion risk in the Belgian banking system. (2011) Empirical. Europe. 24 Glasserman and Young (2014) Empirical. 22 Billio et al. 20 Brownlees and Engle (2010) Volatility. 9 De Nicolo and Kwast (2002) Systemic risk and financial consolidation. 2011. 21 Huang et al. (2006) Risk assessment for banking systems. 24 Glasserman and Young (2014) How likely is contagion in financial networks? 25 Elliott et al. 2 Diamond (1984) Financial intermediation and delegated monitoring. Belgium. 2010. Financial crisis. the interbank system. Systemic risk in a specific Mathematical. are they related? 10 Borio (2003) Towards a macroprudential framework for financial supervision and regulation? 11 Elsinger et al. 17 Brunnermeier et al. Not applicable. N. Comparative analysis. (2012) Econometric measures of connectedness and systemic risk in the finance and insurance sectors. USA 2007–2009. contract. N. Reference Article’s title 1 Diamond and Dybvig (1983) Bank runs. USA. 27 Sandhu et al. 8 De-Bandt and Hartmann (2000) Systemic risk: a survey. 3 Calomiris and Gorton (1991) Theoretical. 7 Freixas et al. 11 Elsinger et al. Not applicable. Econometric. Not applicable. Not applicable. bank. USA. interbank relations. 19 Acharya et al. systemic risk. Silva et al. Network models. 4 Calomiris and Gorton (1991) The origins of banking panics: models. 8 De-Bandt and Hartmann (2000) Theoretical. (2010) Measuring systemic risk. 5 Allen and Gale (1998) Theoretical. Systemic risk of a given Econometric. Contagion. 13 Allen and Gale (2007) Understanding financial crises. Liquidity and contagion in Mathematical modelling. Network models. Descriptive-analytical. facts. deposit insurance and liquidity. Not applicable. Not applicable. bank. USA. Regulation. market. 23 Acemoglu et al. Banking panics. 1992–2008. (2012) Empirical. (2006) Empirical. 16 Adrian and Shin (2009) Empirical. Table 17 Comparative classification of articles. (2009) Theoretical. Contagion. Concepts and models of Review. (2013) Theoretical. 1994–2008. mathematical modelling. Not applicable. 2007 crisis. . 23 Acemoglu et al. optimal Mathematical modelling. USA. 15 Brunnermeier and Pedersen (2009) Market liquidity and funding liquidity. Liquidity and leverage. (2013) Systemic risk and stability in financial networks. Not applicable. 15 Brunnermeier and Pedersen (2009) Theoretical. Mathematical modelling. Contagion. Not applicable. 3 Calomiris and Kahn (1991) The role of demandable debt in structuring optimal banking arrangements. 21 Huang et al. 7 Freixas et al. 1971–2013. USA. Bank consolidation. (2016) Theoretical and empirical. Systemic risk of a given Econometric. 2004–2010. Econometric. 26 Chinazzi and Fagiolo (2015) Theoretical. 14 Brunnermeier (2009) Deciphering the liquidity and credit crunch 2007–2008. and liquidity provision by the central bank. 18 Adrian and Brunnermeier (2010) CoVaR. Not applicable. Systemic risk of a given Econometric. 9 De Nicolo and Kwast (2002) Empirical. (2000) Systemic risk. Secs. Statistical and Not applicable. 16 Adrian and Shin (2009) Liquidity and leverage. 18 Adrian and Brunnermeier (2010) Empirical. Network models. Not applicable. Systemic risk of a given Econometric. bank. 19 Acharya et al. Liquidity and funding. Not applicable. 2000–2010. (2009) The fundamental principles of financial regulation. (2010) Empirical. Not applicable. Review Not applicable. Economic modelling. Review. USA. W. Banking panics. 5 Allen and Gale (1998) Optimal financial crisis. 22 Billio et al. (2000) Theoretical. 6 Allen and Gale (2000a) Theoretical. USA. Descriptive-analytical. Contagion. 2006–2009. 27 Sandhu et al. Contagion. / Journal of Financial Stability 28 (2017) 91–114 107 Table 16 Reference articles in the research on systemic financial risk (Main network). Not applicable. 20 Brownlees and Engle (2010) Empirical. Not applicable. Not applicable. Austria. 6 Allen and Gale (2000a) Financial contagion. correlation and tails for systemic risk measurement. Banking panics. Econometric USA 1988–1999. and bank regulation. (2016) use a mathematical concept from topology. and Degryse and Nguyen (2007) the intersection exposure of a bank in financial markets that are highly developed. (2005) the correlation of risk econometric methods (seven articles).. econometric modelling. 2005). and Glasserman and Young (2014) the fraction of broadly available and generally are restricted to supervisory bodies. – which measures the VaR of the entire financial system – condi. De Nicolo and Kwast (2002) the correlation are most likely to reflect relevant public information about risk of bank shares. volatility increases and assets debt and shares can increase the funding cost of banks. exposures and mutual credit between banks. according to Elsinger et al. Huang on proprietary information. The three articles use cles) or simulation (one article). According spread of financial problems for the detection and measurement of to Drehmann and Tarashev (2011). 10. Elsinger et al. to bring them closer to simpler and more reliable indicators spe- sure of preference for liquidity. on the systemic importance and the systemic risk due to a spe. Freixas et al. Of the articles use correlations as a direct or indirect measure. However. statements monitored by regulatory authorities is of paramount sure. According to Elsinger et al. with the advantages and disadvantages systemic risk indicator. network models (three arti. Sandhu Market prices have the advantage of being easily accessible com- et al. it must observe these measures only systemic risk indicators: Allen and Gale (2000a) propose a mea. it is unlikely that a regulatory systemic risk. Elsinger et al. in falling markets. (2005). De Nicolo empirical articles analyzed. the Ricci pared to data related to the balance sheets and financial indicators curvature. from a supervisory perspective.. the private information that is contained in leverage and the VaR/Assets relationship of the institution as a mea. authority would directly use a more sophisticated tool to measure Many of the articles found on this main research path propose systemic risk. De Nicolo and Kwast (2002) use the stock prices of banks. 2005). and Degryse and Nguyen interconnectivity and the consequent potential for contagion and (2007) use data from aggregate interbank exposures. on the contrary. Several early signs calling for greater scrutiny (Gropp et al. (2010) the SES. The other 11 studies are empirical and use investment portfolios. increasing systemic risk. economic modelling. Other works focus However. (2011) the DIP. some articles in the main several articles and is considered more impactful on systemic risk research path use balance sheet data. Research network..g. of loss given the default (LGD) between banks. the data do not necessarily convey private information. Lehar (2005) the correlation between bank discussed already above. These are move in a more coupled manner. stock market data of risk of contagion.108 W. empirically. 2002). Nine articles specifically analyze the effects of data from portfolios owned by banks. e. Billio et al. the institution’s debts held by other financial institutions. Although such et al. . methods that use tional on a particular institution being in a given state. supervisory data. (2005). the vast majority use market data in and Kwast (2002) propose the correlation of bank stock returns as a their models and analysis. which can be restricted to supervisory bank microdata (Elsinger cific institution. Correlation between assets and markets is always an important According to Gropp et al. / Journal of Financial Stability 28 (2017) 91–114 Fig. Acharya market data can be readily applied in contrast with methods based et al. Adrian and Shin (2009) propose the variation of et al. (2002). (2000) an indicator cific to banks. (2012) the degree of connectivity data sources allow deeper analysis of risk factors. Thus. Silva et al. to a set of stocks comprising the S&P 500. element in the analysis of systemic financial risk because it seems assets issued by banks are interesting because the market prices of that. Adrian and Brunnermeier (2010) propose the popular CoVaR importance (Elsinger et al.. Brownlees and Engle (2010) the MES. they are not of the institution. (2006) use than “too big to fail”. The “too central to fail” phenomenon is a prominent factor in Regarding the origin of the data. as an economic indicator for systemic risk and apply it of companies. M. the set of articles could have varied depending on the criteria adopted. Financ. This is also sug- gested for future studies. bank the CAPES foundation and Herbert Kimura from CNPq. The stock market reaction to the public financial institutions and the financial system and the repercus. Wagner. as is characteristic of the literature on the subject. Section 5 presented elements that appeared less frequently in the literature (GAP1 ). Silva et al. a network of 102 articles considered to be important for advancing the subject was built.A. 2013. and checking where they clash and where Fig.. some articles could have been included and others excluded from the sample. Once again. The subject involves regulatory aspects.. Nevertheless. The diver- sity of subjects and objects that are present in the articles includes Walmir Silva gratefully acknowledges financial support from market risk. Inst.. Mark. this was determined based on a considerable sample of 266 articles that were available for download in the Sco- pus and Web of Science databases. The most recent articles. An in-depth analysis of the 27 articles was performed that described the main path of this research field. Each article has its merits. . 49–72. is negatively affected by increases in macroeco- nomic and financial stress. it was conducted according to the previously described method. However. N. or by organizing and discussing information on the subject in important reviews. Int. J. Ann. The literature on systemic financial risk is evolving. There is a diversity of objects and approaches. many articles focused on the systemic importance of specific institutions. the profitability of all firms. they complement each other. Aboura. contagion. Research Acknowledgments on systemic financial risk is a multifaceted field of study. whether by performing an analysis that contributes to the field. Moreover. The classification categories. liquidity risk. Conclusions Abdymomunov. This work has limitations that result from the method adopted. announcement of a supranational list of too-big-to-fail banks during the sions for the global economy.F. Inst. The adequate functioning of the financial system funda- mentally depends on the confidence of agents to a much greater extent than in other sectors of the economy. they are of interest to professionals involved in banking regulation. there are repercussions for the management of portfolios and the monitoring of specific markets.. With regard to the most important articles concerning systemic financial risk as viewed by the researchers themselves. S. and bank runs and panics. Money 41 (March (1)). 455–470. It would be interesting if there were more comprehensive and comparative studies of the measures of systemic financial risk. Financ. Therefore. Main research path. By changing some criteria. by proposing innovative paths or useful risk measures for the measurement of systemic financial risk. as argued by Hippler and Hassan (2015). W. A. Mark. Financ.. Abreu. In the literature. which also reveals the growing importance of the subject and the large economic and social costs that are involved in financial crises. relevant at first. Money 25 (July (1)). References 6. applying them to the same set of banks. either directly or indi- rectly given the nature of the subject discussed. Gulamhussen. with the exclusion of some articles and the inclusion of others. 11. It is also characterized by its high qual- ity. 2016. what cannot be denied is the rele- vance of this set of articles. even without having been cited many times. Regime-switching measure of systemic financial stress. In addition. could also be modified depending on the researcher’s approach and inter- ests. findings that can serve as a reference and help form the basis of a research agenda for researchers in the area were presented. financial diversification. 9 (3). discussing the advantages and disadvan- tages of each approach. Int. 2013. Extreme asymmetric volatility: stress and aggregate ing was expected given the impact of the 2008 financial crisis on asset prices. J. This find. this could enhance the monitoring of financial institutions in an interesting manner. J. 47–59. leverage. financial firms in particular. credit risk. The literature is comprehensive and financial crisis. consolidation. / Journal of Financial Stability 28 (2017) 91–114 109 reflects the very diversity of the subject and the multiple aspects involved in the research. 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