Systemic Risk and Financial Consolidation : Are they Related? /
We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99. This fi...
| Autore principale: | |
|---|---|
| Altri autori: | |
| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2002.
|
| Serie: | IMF Working Papers; Working Paper ;
No. 2002/055 |
| Accesso online: | Full text available on IMF |