کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083466 | 1477804 | 2015 | 17 صفحه PDF | دانلود رایگان |
- Determination of systemic risk
- Print-media consumer pessimism
- VIX volatility
- Externality
- Financial stress
We introduce a measure of information dissemination for the determination of systemic risk, print-media consumer pessimism, controlling for VIX volatility. VIX volatility has a significant direct impact upon systemic risk of financial firms under distress, and consumer pessimism does impact upon firm's financial stress via the externality of other firm's financial stress. In the internet bubble of the 1990s, pessimism predicts larger systemic risk in the whole period of exuberance while the VIX predicts a sharp larger systemic risk in the height of the bubble. Our evidence suggests that consumer pessimism might be dominated by the VIX when predicting systemic risk.
Journal: International Review of Economics & Finance - Volume 38, July 2015, Pages 352-368