Challenges in Identifying and Measuring Systemic Risk

Lars Peter Hansen

NBER Working Paper No. 18505
Issued in November 2012
NBER Program(s):   CF

Sparked by the recent "great recession" and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy.

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This paper was revised on December 18, 2012

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w18505

Published: Challenges in Identifying and Measuring Systemic Risk, Lars Peter Hansen. in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier and Krishnamurthy. 2014

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