Determinants of systemic risk and information dissemination

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 fir...

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Bibliographic Details
Published in:International review of economics & finance 2015-07, Vol.38, p.352-368
Main Authors: Bianconi, Marcelo, Hua, Xiaxin, Tan, Chih Ming
Format: Article
Language:English
Subjects:
Conditional value-at-risk
Consumer attitudes
Consumer pessimism
Externality
Impact analysis
Information dissemination
Occupational stress
Pessimism
Risk assessment
Studies
VIX
Volatility
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Summary: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. •Determination of systemic risk•Print-media consumer pessimism•VIX volatility•Externality•Financial stress
ISSN:1059-0560
1873-8036
DOI:10.1016/j.iref.2015.03.010