Fire‐Sale Spillovers and Systemic Risk
构建了一个衡量金融体系对甩卖脆弱性的综合指数，发现该指数从2004年开始快速上升，到2008年增长两倍，其中去杠杆速度和流动性差的资产集中度是主要驱动因素，且银行个体贡献能预测其他系统性风险指标。
ABSTRACT We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire‐sale‐specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm‐specific measures of systemic risk, including SRISK and CoVaR. The balance‐sheet‐based measures we propose are therefore useful early indicators of when and where vulnerabilities are building up.