A Genealogy of Systemic Risk Network Measures adopted by Regulators

Project Start:01/2016
Researchers:Edin Ibrocevic, Holger Lüthen, Loriana Pelizzon, Sviataslau Sivagrakau, Matthias Thiemann
Area: Financial Intermediation, Systemic Risk Lab
Funded by:LOEWE

This project was part of the team project "Systemic Risk and Network Connectivity".

Topic & Objectives

The project has successfully conducted an analysis of the genealogy of systemic risk measures, employing both expert interviews as well as unsupervised quantitative text analysis to uncover the origins of the systemic risk measures in use by regulators after the financial crisis. The final output of the project has been published in 2020 in the prestigious Review of International Political Economy under the title "Measuring and mitigating systemic risks: How new alliances between central-bank and academic economists are forging the transnational macroprudential agenda".

Key Findings

  • Applied economists in central banks, together with academics jointly produced the risk measures in use by regulators.
  • Academics alone were insufficiently sensitive to both the ontological convictions and the practical necessities of regulators with respect to systemic risk measures.
  • Applied economists in central banks developed early warning systems, but those published in highly prestigious academic outlets, such as the American Economic Review (s. e.g. the paper by Adrian et al 2020, Vulnerable Growth”) have developed the greatest impact.

Policy Implications

  • For academic work, seeking to advance the measurement and mitigation of systemic risk, in order to be impactful, collaboration with central banks and central bank economists should be pursued.

Related Published Papers

Vanessa Endrejat, Matthias ThiemannWhen Brussels meets shadow banking- technical complexity, regulatory agency and the reconstruction of the shadow banking chain
Competition & Change
2020 Financial Intermediation, Systemic Risk Lab

Related Working Papers

214Edin Ibrocevic, Matthias ThiemannAll Economic Ideas are Equal, but Some are more Equal than Others: A Differentiated Perspective on Macroprudential Ideas and their Implementation2018 Financial Intermediation, Systemic Risk Lab macroprudential regulation, ideational shift, systemic risk, topic modelling, central bank policy