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dc.contributor.authorHouston, Joel F.en_US
dc.contributor.authorStiroh, Kevin J.en_US
dc.date.accessioned2012-08-17T14:25:44Z-
dc.date.available2012-08-17T14:25:44Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/60578-
dc.description.abstractThis paper examines the evolution of risk in the U.S. financial sector using firm-level equity market data from 1975 to 2005. Over this period, financial sector volatility has steadily increased, reaching extraordinary levels from 1998 to 2002. Much of this recent turbulence can be attributed to a series of major financial shocks, and we find evidence of an upward trend in volatility only for the common component that affects the entire financial sector. While idiosyncratic volatility remains dominant, a combination of common shocks, deregulation, and diversification has reduced its relative importance since the early 1990s. Within the financial sector, commercial banks show the largest rise in volatility, which also reflects industry shocks and not the idiosyncratic component. Despite these changes, we find that the links between the financial sector and economic activity have declined in recent years. These results have implications for investors, bank regulators, and other policymakers concerned with the origins of financial sector risk and with the links between the financial markets and real activity.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 248en_US
dc.subject.jelG0en_US
dc.subject.jelG2en_US
dc.subject.ddc330en_US
dc.subject.keywordfinancial sector, volatility, risk Stiroh:en_US
dc.subject.stwFinanzsektoren_US
dc.subject.stwVolatilit├Ąten_US
dc.subject.stwRisikoen_US
dc.subject.stwUSAen_US
dc.subject.stwFinanzmarktkriseen_US
dc.titleThree decades of financial sector risken_US
dc.typeWorking Paperen_US
dc.identifier.ppn511442394en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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