About: Risk, uncertainty, and leverage()

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Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Risk, uncertainty, and leverage()
Creator	Istiak, Khandokar Serletis, Apostolos
Source	Elsevier; Medline; PMC
abstract	Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic, precaution, scary bad news, etc.), the current literature tries to clarify the risk/uncertainty-deleveraging pattern. The findings are not sufficient to explain the dynamic empirical relationship between modern risk/uncertainty indicators and leverage. We fill this gap in the literature by using US quarterly data, from 1985:1 to 2018:4, Granger causality tests, and a structural vector autoregression model. We find that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase. Client-based business relationships of banks and high government borrowing from banks during crises periods are responsible for this relationship. We find that the leverage of broker-dealers and shadow banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase. We argue that the vulnerability of broker-dealers and shadow banks to the risk/uncertainty of the entire market system is responsible for this relationship.
has issue date	2020-06-26(xsd:dateTime)
bibo:doi	10.1016/j.econmod.2020.06.010
bibo:pmid	32834331
has license	no-cc
sha1sum (hex)	7a9cb226022616147d04125c7f7fdf6223998964
schema:url	https://doi.org/10.1016/j.econmod.2020.06.010
resource representing a document's title	Risk, uncertainty, and leverage()
has PubMed Central identifier	PMC7317297
has PubMed identifier	32834331
schema:publication	Econ Model
resource representing a document's body	covid:7a9cb226022616147d04125c7f7fdf6223998964#body_text
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