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Cited by 438

The DOI matches its Crossref record; 69 of the 69 references it cites were found in a registry or an index.

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Open access
Allen, Linda, Bali, Turan G., Tang, Yi·2012·Review of Financial Studies
DOI 10.1093/rfs/hhs094
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Abstract

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.

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Metadata

Authors
Allen, L., Bali, T. G., & Tang, Y.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2012-09-17
Volume
25
Issue
10
Pages
3000-3036
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhs094
OpenAlex
W3124882825
Cited by
438
References
69
FWCI
44.04
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? https://app.cochat.ai/papers/10.1093/rfs/hhs094
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Allen, L., Bali, T. G., & Tang, Y. (2012). Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? Review of Financial Studies. https://doi.org/10.1093/rfs/hhs094

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

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