Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework

摘要: This paper attempts to identify the indicators that can demonstrate vulnerabilities in systemically important financial institutions. The finds (i) on leverage, liquidity, and business scope help differences between intervened non-intervened institutions during subprime crisis; (ii) expected default frequencies react positively shocks inflation, global stress, excess negatively return assets equity prices; (iii) leverage has been most robust factor with a long-run causal effect frequencies.