Surfing through the GFC: Systemic Risk in Australia

Dungey, Mardi; Matei, Marius; Luciani, Matteo; Veredas, David

doi:10.1111/1475-4932.12309

Cited by 13 publications

(6 citation statements)

References 52 publications

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“…The existing literature allows us to understand that a high degree of dependence and contagion exists among banks within and across countries and regions during crisis periods (Paltalidis et al, 2015;Black et al, 2016;Dungey et al, 2017;Duprey et al, 2017;Mohanty et al, 2018;Huang et al, 2019;Verma et al, 2019;Wang et al, 2019;Zedda and Cannas, 2020). Furthermore, various determinants, such as fundamental factors, liquidity, market factors, interbank loans, and macroprudential policies, can contribute to the degree of systemic risk (Acharya and Steffen, 2013;Pais and Stock, 2013;Acemoglu et al, 2015;Battaglia and Gallo, 2017;Soedarmono et al, 2017;Varotto and Zhao, 2018;Su and Wong, 2018;Elyasiani and Jia, 2019;Yang et al, 2020;Andries et al, 2020;Bats and Houben, 2020;Brunnermeier et al, 2020;Meuleman and Vennet, 2020).…”

Section: Introductionmentioning

confidence: 99%

Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

et al. 2022

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Section: Introductionmentioning

confidence: 99%

Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

et al. 2022

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“…In 2013 and 2015, the low coordination state of the three subsystems was mainly determined by the uneven change of the economic and ecological comprehensive evaluation indexes. In 2013, the economic comprehensive index showed a downward trend because of global economic growth rate reduction, decline of Australia's industrial investment, and depreciation of the Australian dollar [34,35]. Although the original energy ecological scale was not affected, the reduction of investment scale and expansion speed in mining led to a decrease in temperature and extreme precipitation frequency in extreme climate.…”

Section: Coordination Degreementioning

confidence: 99%

Coupling and Coordination Development of Australian Energy, Economy, and Ecological Environment Systems from 2007 to 2016

Yan

Chen

2019

Sustainability

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Energy, economy and ecological environment complement each other. The coupling and coordination development of them would provide basis for the rational use of energy, economic development, and the protection and restoration of the ecological environment. In this study, the coupling and coordination development of the Australian energy, economy, and ecological environment from 2007 to 2016 were quantitatively investigated by constructing a coupling coordination model based on coupling theory. Results showed that: (1) Australia's comprehensive evaluation index of energy, economy, and ecological environment exhibited an increasing trend. The rising trend of the energy index was obvious, the economy was relatively stable, and the comprehensive evaluation index of the ecological environment strongly fluctuated. (2) The development of energy and the economy, and that of energy and the ecological environment were gradually coordinated, and many unbalanced development patterns were found between the economy and the ecological environment. (3) Four types of coordination were observed in the three subsystems, among them, the barely coordinated categories repeated most often and the coordination degree of the three subsystems tended to grow from the global perspective. Energy, economy, and ecological environment interacted, limited, and promoted one another to form a complex system, through proper coordination, these three subsystems can jointly promote the sustainable development of society in Australia.The academic community's research on energy, the economy, and the environment has experienced the process of "single system-binary system-ternary system." Kraft and Kraft [3] first investigated the relationship between economic growth and energy consumption. Grossman and Krueger [4] observed that economic growth and environment quality exhibit an inverted U-shaped curve, which Panayotou [5] called the Environmental Kuznets Curve (EKC) relationship. These studies mainly focused on the binary systems of energy-economy, economy-environment, and environment-energy. With the increasing awareness on energy, the economy, and the ecological environment, people have realized that these binary systems are insufficient to comprehensively and systematically investigate the coordinated development of energy, the economy, and the environment. Therefore, many energy research and environmental protection institutes have cooperated with economists to construct a research framework of the three subsystems and conduct comprehensive research on their coordinated development. In 1995, Hawdon and Pearson [6] investigated the complex relationship between energy, the environment, and economic welfare by using input-output simulations. Oliveira and Antunes presented a multi objective model [7] and a multisectoral energy-economy-environment model [8] and used them to evaluate the effects of economic structure and energy system changes on the environment. Since then, the study of the relationship between the three subsystems has become a new resea...

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“…Using equity price information, Fong et al (2011) and Wong et al (2011) assess the systemic risk, based on the Conditional Value-at-Risk, of the Hong Kong banking sector using loan loss provisioning and Merton default probabilities, respectively. To understand the build-up of systemic losses within a financial system, recent papers also measure the interconnectedness between banks and different sectors in the Australian economy and international markets (Dungey et al, 2016;Anufriev and Panchenko, 2015). More recently, Roesch and Scheule (2016) develop an econometric model to analyse systemic risk in relation to bank lending for Asian economies using bank portfolio loss rates.…”

Section: Financial System Resiliencementioning

confidence: 99%

The value of bank capital buffers in maintaining financial system resilience

Bui

Scheule

2017

Journal of Financial Stability

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There is a current controversy concerning the appropriate size of banks' capital requirements, and the trade-off between the costs and benefits of implementing higher capital requirements. We quantify the size of capital buffers required to reduce system-wide losses using confidential regulatory data for Australian banks from 2002 to 2014 and annual public accounts from 1978 to 2014. We find that a moderate increase in bank capital buffers is sufficient to maintain financial system resilience, even after taking economic downturns into consideration. Furthermore, while banks benefit from paying a lower cost of debt when they have a higher capital buffer, lending volumes are lower indicating that credit supply may be hampered if bank capital levels are too high within a financial system.

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Surfing through the GFC: Systemic Risk in Australia

Cited by 13 publications

References 52 publications

Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

Measuring systemic risk in the global banking sector: A cross-quantilogram network approach

Coupling and Coordination Development of Australian Energy, Economy, and Ecological Environment Systems from 2007 to 2016

The value of bank capital buffers in maintaining financial system resilience

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