Συστημικός κίνδυνος στο οικονομικό σύστημα

Κουτσονικόλας, Βασίλης

Systemic risk in the economic system

Master Thesis

Author

Κουτσονικόλας, Βασίλης

Date

2017-06

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Keywords

Συστημικός κίνδυνος ; Χρηματοοικονομικά ιδρύματα ; Χρονολογικές σειρές ; VAR ; VECM ; Εποπτεία ; Systemic risk ; Financial institutions ; Timeseries ; Supervision

Abstract

The recent financial crisis of 2007 in the USA was a proof that even though when an economy seems strong, there are dangers lurking behind any financial institution. Several institutions that were in danger of collapsing actually were bailed out because there were "too big to fall". However, only one investment bank known as the Lehman Brothers failed on September of 2008. The news caused a great panic in the economic market and analysts were afraid that the release of such news through the interconnected investments may lead to a worldwide panic. Furthermore, institutional instruments such as Central Banks, organizations, committees could not receive the importance of this crisis. The successful stewardship of such institutional instruments should involve not only the size of an institution but also how interconnected it is. The key rationale that they should have in mind is that an interconnected institution is more difficult to fail and through gathering sufficient data they should detect any systemic danger. Therefore, the purpose of this research is to investigate possible and potential relationships between some systemic risk factors and variables such as the S&P 500, the index of industrial production, the inflation and the 3-month interest rate of treasury bill, which play an important role in the economic system.