Český finanční a účetní časopis 2014(4):31-42 | DOI: 10.18267/j.cfuc.421

Systemic Risk Indicator

Milan Šimáček
Ing. Milan Šimáček - doktorand; Katedra bankovnictví a pojišťovnictví, Fakulta financí a účetnictví, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3; <milan.simacek@seznam.cz>.

The paper analyses the relationship between excessive credit growth and the development of systemic risk, which subsequently materializes into losses of banking sector credit portfolios. The systemic risk indicator captures the time dimension of systemic risk, and hence represents the function of an indicator of the development of endogenous risk and imbalances in the system. The systemic risk indicator is thus a suitable leading indicator for the identification of the materialization of the risk of financial stress. In the paper, the credit to GDP gap for the domestic as well as the foreign component is chosen as the most suitable variable for the indicator. The results for each country confirm that the indicator is able to identify two to three years in advance the development of systemic risk and of systemic imbalances. Moreover, the results confirm the regional character of the systemic risk, when all of the countries realized an excessive growth mainly of the credit to households and mortgages, which moreover coincided in time.

Keywords: Systemic risk; Financial system; Financial crises; Credit expansion.
JEL classification: G01, G21

Published: December 1, 2014  Show citation

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Šimáček, M. (2014). Systemic Risk Indicator. Czech Financial and Accounting Journal, 2014(4), 31-42. doi: 10.18267/j.cfuc.421
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