Systemic risk across sectors; Are banks different?

This research compares systemic risk in the banking sector, the insurance sector, the construction sector, and the food sector. To measure systemic risk, we use extreme negative returns in stock market data for a time-varying panel of the 20 largest U.S. firms in each sector. We find that systemic risk is significantly larger in the banking sector relative to the other three sectors. This result is robust to separating out correlations with an economy-wide stock market index. For the non-banking sectors, the ordering from high to low systemic risk is: insurance sector, construction sector, and food sector. The difference between the insurance sector and the construction sector is no longer significant after correcting for correlations with the economy as a whole. The correction has a large effect for the banking sector and the insurance sector, and a smaller effect for the other two sectors.

El problema de la deuda internacional

The Problem of the International Debt. The outbreak of the crisis of indebtedness in August of 1982 leads to a period of great uncertainty. The strategy aimed at overcoming this problem has gone through three different phases. The first one (1982-85) was based on adjustment programs with the Fund supported financially by the commercial banks. The second phase (1985-89) was marked by the application of the so-called Baker Plan, which tried to avoid the net outflow of resources from the debtor countries. Finally, since 1989, we have entered into the strategy of the Brady Plan, which admits for the first time procedures for the reduction of the outstanding debt. All these strategies, of a cooperative nature, have reduced the virulence of the problem, but have failed to overcome it. Thus, we still have to regard this problem as a seriously disruptive potential threat to the international financial system.Cuando en agosto de 1982 estalla la crisis de endeudamiento, se abre un período de incertidumbre al que se hace frente, en una primera fase, con programas de ajuste acordados con el FMI y apoyados financieramente por los bancos privados. En 1985, se abre una nueva etapa con la aplicación del llamado Plan Baker, que intenta evitar la salida neta de recursos de los países endeudados, y finalmente desde 1989 entramos en la fase del Plan Brady, en la que por primera vez se admite la reducción de la deuda. Todas estas estrategias, basadas en la colaboración internacional, han reducido la virulencia del problema, pero no lo han superado. Sigue ahí como una amenaza latente a la economía internacional

Towards a new architecture of the international financial system.

Features that a new international financial architecture should mee

A Note on the Shapley Value for Characteristic Functions on Bipartitions

We consider a cooperative game with a bipartition that indicates which players are participating. This paper provides an analytical solution for the Shapley value when the worth of a coalition only depends on the number of participating coalition players. The computational complexity grows linearly in the number of players, which contrasts with the usual exponential increase. Our result remains true when we introduce (i) randomization of the bipartition, and (ii) randomly draw a characteristic function