Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
构建了一个名为CATFIN的总体系统性风险指标，利用美国、欧洲和亚洲的银行数据，通过样本外测试发现该指标能提前六个月预测宏观经济衰退，且仅银行部门的系统性风险具有预测能力，非金融企业和模拟“假银行”则无此能力。
We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with U.S., European, and Asian bank data. Consistent with bank "specialness, " the CATFIN of both large and small banks forecasts macroeconomic declines, whereas a similarly defined measure for both nonfinancial firms and simulated "fake banks" has no marginal predictive ability. High levels of systemic risk in the banking sector impact the macroeconomy through aggregate lending activity. A conditional asset pricing model shows that CATFIN is priced for financial and nonfinancial firms. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.