Document Type
Article
Publication Date
7-2015
Publication Title
International Review of Economics & Finance
Volume
38
Abstract
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.
First Page
352
Last Page
368
DOI
10.1016/j.iref.2015.03.010
ISSN
1059-0560
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Marcelo Bianconi, Xiaxin Hua, and Chih Ming Tan. "Determinants of Systemic Risk and Information Dissemination" (2015). Economics & Finance Faculty Publications. 2.
https://commons.und.edu/ef-fac/2