TY  - UNPD
A1  - Kubitza, Christian
T1  - Tackling the volatility paradox: persistence and systemic risk
N2  - Macro-finance theory predicts that financial fragility builds up when volatility is low. This “volatility paradox’” challenges traditional systemic risk measures. I explore a new dimension of systemic risk, spillover persistence, which is the average time horizon at which a firm’s losses increase future risk in the financial system. Using firm-level data covering more than 30 years and 50 countries, I document that persistence declines when fragility builds up: before crises, during stock market booms, and when banks take more risks. In contrast, persistence increases with loss amplification: during crises and fire sales. These findings support key predictions of recent macrofinance models.
T3  - ICIR Working Paper Series - No. 20/16 [15.11.20] 
KW  - Financial Crises
KW  - Systemic Risk
KW  - Amplification
KW  - Fire Sales
KW  - Asset Price Bubbles
KW  - CoVaR
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/77229
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-772297
UR  - https://www.icir.de/fileadmin/user_upload/editors/documents/working_papers/wp_20_kubitza.pdf
PB  - International Center for Insurance Regulation
CY  - Frankfurt am Main
ER  -