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This paper examines the mechanism of systemic risk propagation through system-wide latent leverage channel. We focus on the hidden leverage-induced asset value dynamics in the financial markets, intertwined with balance-sheet components of the banking system. We propose a latent leverage index by estimating smooth transition regression models based on the intrinsic element of the financial system, off-balance-sheet transaction, and cross-border activities of the Korean commercial banking system. We find that a shock to the latent leverage index impacts the macroeconomy with the lag of three quarters. This finding provides an important policy-oriented implication for macroprudential supervision of banking system.
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참고문헌 (25)
참고문헌 신청
Adrian, T / 2010 / Liquidity and Leverage / Journal of Financial Intermediation 19(3):418~437
Baron, M / 2014 / Credit Expansion and Financial Instability: Evidence from Stock Prices
BCBS / 2012 / A Framework for Dealing with Domestic Systemically Important Banks
Bernanke, B. / 1999 / The Financial Accelerator in a Quantitative Business Cycle Framework
Bernanke, B. S / 1995 / Inside the Black Box: The Credit Channel of Monetary Policy Transmission / Journal of Economic Perspectives 9(4):27~48
Baron, M / 2014 / Credit Expansion and Financial Instability: Evidence from Stock Prices
BCBS / 2012 / A Framework for Dealing with Domestic Systemically Important Banks
Bernanke, B. / 1999 / The Financial Accelerator in a Quantitative Business Cycle Framework
Bernanke, B. S / 1995 / Inside the Black Box: The Credit Channel of Monetary Policy Transmission / Journal of Economic Perspectives 9(4):27~48
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