Naslov
Financial Market Perception of Systemic Risk and Financial Stability

Autori
Rimac Smiljanić, Ana

Izvornik
Journal of accounting and management (Zagreb) (1848-137X) 1 (2011), 1; 25-44

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Financial stability; systemic risk; financial markets

Sažetak
This paper argues that during periods of boom in asset prices, investors, creditors and regulators of financial markets have a decreased perception of systemic risk. Therefore, they increase their indebtedness. In this way, by making financial decisions at a microeconomic level, they can increase the probability of the occurrence of episodes of financial instability at the aggregate level. Therefore, in this study, we analyzed the influence of the perception of systemic risk on private sector credit in the United States from 1970 based on co-integration VAR during boom in stock and real estate prices. The co-integration test suggested that long-term development of private sector credit could be explained by the perception of systemic risk during asset price boom. Impulse response analysis based on Cholesky’s standard decomposition revealed that there was significant dynamic interaction between the perception of systemic risk in credit markets during asset prices boom and the level of private credit in the United States.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA