10 1016@j Jfs 2016 12 004

Accepted Manuscript
Title: AN ANALYSIS OF THE LITERATURE ON

SYSTEMIC FINANCIAL RISK: A SURVEY
Author: Walmir Silva Herbert Kimura Vinicius Amorim
Sobreiro
PII:
DOI:
Reference:
S1572-3089(16)30228-5
http://dx.doi.org/doi:10.1016/j.jfs.2016.12.004
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Journal of Financial Stability
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14-12-2016
Please cite this article as: Walmir Silva, Herbert Kimura, Vinicius Amorim
Sobreiro, AN ANALYSIS OF THE LITERATURE ON SYSTEMIC FINANCIAL
RISK: A SURVEY, <![CDATA[Journal of Financial Stability]]> (2016),
http://dx.doi.org/10.1016/j.jfs.2016.12.004
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AN ANALYSIS OF THE LITERATURE ON SYSTEMIC FINANCIAL

RISK: A SURVEYI,II
Walmir Silvaa,1 , Herbert Kimuraa , Vinicius Amorim Sobreiroa,
of Braslia, Department of Management, Campus Darcy Ribeiro, Braslia, Federal District, 70910900, Brazil.
b Central Bank of Brazil, Braslia, Brazil
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Abstract
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This article presents an analysis of the literature on systemic financial risk. To that end, we analyze and
classify 266 articles that were published no later than September 2016 in the databases Scopus and Web of
Knowledge; these articles were identified using the keywords systemic risk, financial stability, financial,
measure, indicator, and index. They were evaluated based on 10 categories, namely, type of study, type
of approach, object of study, method, spatial scope, temporal scope, context, focus, type of data used, and
results. The analysis and classification of this literature made it possible to identify the remaining gaps in
the literature on systemic risk; this contributes to a future research agenda on the topic. Moreover, the most
influential articles in this field of research and the articles that compose the mainstream research on systemic
financial risk were identified.
Keywords: Systemic risk, financial stability, bibliometry, financial, measure.

JEL codes: G01; G15; G2; G28; C58; and C6.
1. Introduction
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Research on systemic risk in financial markets has intensified since the US mortgage crisis that began
in 2007. The vulnerability of the financial system was exposed by the bankruptcy of Lehman Brothers in
September 2008 and Eurozone the sovereign debt crisis that followed. Such events generate panic and chain
reactions, undermining the confidence that is necessary for the proper functioning of the financial system.
According to the International Monetary Fund (IMF), the lack of effective mechanisms for addressing these
situations poses a significant risk (IMF, 2009).
These events are even more serious because the financial sector as a proportion of the overall economy
in many countries has grown in addition to becoming globalized; moreover, the introduction of telematic
technologies has increased trading speed. According to Grilli et al. (2014a), in recent decades, the economic
system has witnessed a substantial transfer of resources from the productive segment to the financial sector.
According to the same authors, the financialization of the economy is one of the factors responsible for
growing financial instability, reflected in financial crises that have become more intense over the years.
Oort (1990) cites the following causes of vulnerability to the banking system: i) larger bank bankruptcies
causing a general financial crisis due to the dense network of connections among banks; ii) the systemic
risks alleged to be inherent in certain new bank products; and iii) the impact of external events, such as
debt crises, sudden changes in market rates, and deregulation. Oort (1990) considers the likelihood of a
I This
document was a collaborative effort.

views expressed in this work are those of the authors and do not necessarily reflect those of the Central Bank of Brazil
nor those of its members.
Corresponding author
Email addresses: walmir@impa.br (Walmir Silva), herbert.kimura@gmail.com (Herbert Kimura), sobreiro@unb.br
(Vinicius Amorim Sobreiro)
II The
Preprint submitted to Journal of Financial Stability
December 20, 2016
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major banking crisis to be small, mainly because of increased banking oversight and its application on a
comprehensive and consolidated global basis (Oort, 1990, p. 463). Subsequent events, particularly the 2008
crisis, have contradicted this assumption.
Interestingly, certain articles published before the 2007 crisis called attention to the increased systemic
financial risk. For example, De Nicolo and Kwast (2002) state that the ongoing consolidation of the financial
system was one of the most notable features at that time and that the establishment of a number of very
large and, in some cases, very intricate financial institutions increased concerns regarding the growth of
systemic risk. Lehar (2005) also notes an increase in systemic risk in the banking sector due to the ongoing
rapid integration of financial markets; this was a cause for concern among regulators and supranational
agencies given that the concurrent insolvency of many banks could generate a serious economic crisis, as past
experience had already shown.
Danelsson (2002) warns that macro-prudential regulation focused only on the risks taken by banks and
other financial institutions individually and was not sufficient to prevent crises. In the opinion of this author,
risk measures that consider only the specific risk of the institution do not help in the monitoring of systemic
risk; on the contrary, they can aggravate it. Moreover, Danielsson et al. (2016) show that model risk increases
with market uncertainty, which has to be taken into account given the fundamental role risk models play in
the regulatory process.
The IMF in its Global Financial Stability Report of 2009 draws attention to the need for tools that would
allow systemic risk to be detected and states that the ability to identify systemic risk at an early stage can
allow regulators to proactively engage in defining measures to control crisis (IMF, 2009).
As identified in the present study, the academic research on systemic risk has grown since the financial
crisis that began in 2007, which shows the relevance of the subject. Consequently, following the method
proposed by Jabbour (2013), Lage-Junior and Godinho-Filho (2010), and Seuring (2013), the objectives of
this study are as follows:
Identify articles in the Scopus and Web of Knowledge databases related to systemic financial risk to
build a sample
Classify and code the characteristics and scope of the papers
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Generate a summary of the contribution of each paper and analyze the mainstream research on systemic
financial risk
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Identify the strengths and weaknesses of the studies

Identify the most influential articles in this field of study, building a network of studies
Provide a framework to address the relevant gaps in the current discussion on systemic financial risk
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Below, we present the research method (Section 2); the classification and coding mechanism for the
papers (Section 3); a brief review of the concept of systemic financial risk (Section 4); the results of the
article classification, including perceived gaps, as well as the identification of research networks and analysis
of the main research path (Section 5); and final considerations (Section 6).
2. Research methods
This work follows the method of Jabbour (2013), Lage-Junior and Godinho-Filho (2010), and Seuring
(2013), who refer to Huisingh (2012). This study is a literature analysis; it is useful for structuring the results
of research that addresses emerging themes; it also provides a comprehensive assessment of the cutting edge
of the literature. In addition, this approach aims to characterize the research field and to identify gaps in the
research, providing a basis for further investigation (Huisingh, 2012). Although many studies follow a review
based method, including the works cited, the research on systemic financial risk has not been addressed to
a large extent. Jabbour (2013) and Lage-Junior and Godinho-Filho (2010) propose that literature reviews
should take into consideration the following stages:
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First Stage: Perform a comprehensive search of the published papers on the theme in relevant databases
Second Stage: Develop a classification model, coded using a logical structure
Third Stage: Apply the classification model and elaborate a framework of the current discussion on the
theme
Fifth Stage: Analyze the gaps and suggest opportunities for further study
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Fourth Stage: Present the characteristics of the scientific literature and the main results, taking into
account the coding system
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To map the scientific production regarding systemic financial risk, the first step was to build a significant
sample of the articles produced in the field. Thus, on December 22, 2014, searches were performed in the
Scopus database using the keywords systemic risk and financial stability, further combining systemic
risk and financial and measure or indicator or index. These searches were not limited temporally,
but the thematic areas were limited to Social Sciences & Humanities and Physical Sciences, excluding
the thematic areas of Life Sciences and Health Sciences. In the first search, a sample of 170 articles was
obtained, with 86 available in full for download (only the abstracts were available for the others). The second
search produced 134 articles, of which 61 were available in full for download. Eight articles were listed in both
searches; therefore, the sample was composed of 139 articles that were available in the database. Of these
articles, two were excluded because they were editorials; three did not correspond to the articles advertised,
due to errors in the databases; and two were later found to address a subject different from the one intended.
Thus, an initial sample of 132 articles of interest, which were available in full to download was obtained.
In May 2015, an additional 25 articles published no later than 2014 and not included in the original
sample were downloaded from the Web of Knowledge database, with the same combinations of keywords used
in Scopus. In April 2016, it was decided to incorporate articles that were published in 2015 and available for
download. Thus, an additional 45 articles were added to the sample. In September 2016, 64 articles published
in 2015 and 2016 were added, for a final sample of 266 articles downloaded from the Scopus and Web of
Knowledge databases for classification, as shown in Table 1.
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Regarding the vehicles of publication of the articles, it is observed that 17 journals concentrated 61% of
the published articles (162 of 266), as shown in Table 2.
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A large dispersion of publishing vehicles was observed for the remaining 125 articles. In total, the sample
consists of articles published in 106 journals, with the vast majority of journals (74) publishing only one
article and 15 journals publishing two articles, as shown in Figure 1.
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By organizing articles by publication year, we observe that only two articles in the sample were published
in 2001 or before 2001. From 2002 onward, articles on systemic financial risk occurred every year on a regular
basis but at low frequency until 2008. From 2009 onwards, after the bankruptcy of Lehman Brothers and the
worsening of the global financial crisis, the number of articles on systemic financial risk grew significantly, as
shown in Figure 2.
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Once the articles were read and analyzed, a proposed classification system was built, and it was refined as
more articles were analyzed. Ten classes were proposed for analyzing and mapping the scientific production on
systemic financial risk; they are presented in the next section together with the classification of the articles.
3. Classification and coding
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The structure for classification is built following the method proposed by Jabbour (2013), Lage-Junior
and Godinho-Filho (2010), and Seuring (2013). The classification scheme includes 10 categories, numbered 1
through 10. Each of the classifications is also coded with letters (A, B, C, . . . ). Thus, this classification system
involves an aggregation of numbers and letters. It is important to note that an article can be associated with
several codes for a given item.
Classification 1: Type of study, coded on a scale from A to C
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Classification 2: Approach, coded from A to D

Classification 3: Object of study, coded from A to J
Classification 4: Comprehensiveness in geographic terms, coded from A to E
Classification 5: Context, related to the degree of development of the countries analyzed, coded from A
to D
Classification 6: Focus, related to the type of institutions and markets analyzed, coded from A to H
Classification 7: Period studied, coded from A to E
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Classification 8: Type of data analysed, coded from A to E

Classification 9: Methods used, coded from A to D
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Classification 10: Results, coded from A to E

Table 3 shows the classification structure and codes used.
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The full list of articles that comprise the sample and their classification in the various items listed above
are shown in Tables 4, 5, 6, 7 and 8.
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4. A brief conceptual foundation of financial systemic risk
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4.1. Definition of systemic financial risk

According to Summer (2003), there is no universal definition of systemic financial risk. For De-Bandt and
Hartmann (2000), any concept of systemic financial risk should include widespread events in the banking
and financial segments and payment and settlement systems. The effects of contagion are at the core of
the concept, which also includes simultaneous instances of financial instability following aggregate shocks.
According to these authors, several rigorous models of contagion within the banking and payment system
have been suggested, but there is no general theoretical framework. More specifically, it is difficult to establish
empirical tests that can allow a distinction between the contagion itself and joint crises caused by common
shocks (De-Bandt and Hartmann, 2000).
The European Central Bank (ECB, 2009) characterizes systemic risk as the possibility of an institution
failing to honor its obligations, prompting the same failure on the part of other participants and causing wider
effects due to liquidity and credit constraints; ultimately, the stability of the financial system is jeopardized.
For the ECB, one perspective is to describe it as the risk of experiencing a strong systemic event. Such an
event adversely affects a number of systemically important intermediaries or markets (including potentially
related infrastructures) (ECB, 2009, p. 134). In the same vein, Lehar (2005) defines systemic financial risk
as the potential of occurrence of an event that implies the simultaneous bankruptcy of a certain number of
financial institutions.
For Adrian and Brunnermeier (2010), systemic financial risk is related to the malfunction of an institution
spreading extensively and disorganizing the supply of credit and capital to the economy of real assets. This
definition is similar to that presented by Acharya and Richardson (2009), who defines systemic risk as the
joint failure of financial institutions and capital markets that considerably shorten the supply of capital to
the real market.
Billio et al. (2012) suggest that one symptom of systemic risk is related to the existence of abrupt shifts in
regime, as the economy typically fluctuates between low volatility during economic growth and high volatility
during economic contraction.
In the words of Abdymomunov (2013, p. 455), In general, systemic risk is perceived as the risk of a
negative shock, severely affecting the entire financial system and the real economy. This shock can have
different causes and triggers, such as a macroeconomic shock, a shock caused by the failure of an individual
market participant that affects the entire system due to tight interconnections in the system, or a shock caused
by information disruption in financial markets. In his work, the author limits the definition to systemic
financial stress, which occurs when market participants experience growing uncertainty and modify their
expectations of the economic environment, defining other estimates for potential losses and asset value.
From a more current and comprehensive perspective, Patro et al. (2013) describe systemic risk as a
situation in which the entire financial system is simultaneously stressed, with an ensuing credit and liquidity
crisis. Systemic risk can have a significant influence on financial markets and on the real economy, reducing
the supply of capital and exacerbating capital losses. Furthermore, Patro et al. (2013) conceptualize systemic
risk as the probability of a severe decline in the financial system, caused by a strong and broad event, such
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as the breakdown of a financial institution, that negatively influences not only financial markets but the
economy as a whole.
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4.2. Factors present in the discussion on systemic financial risk

An important task is to identify which characteristics of financial institutions and of the functioning of
the market in general have a greater impact on systemic risk and the amplifying or dampening of shocks.
Some common points identified in the literature are highlighted next.
Caccioli et al. (2009) identify the uncontrolled proliferation of financial instruments with the potential
to cause large fluctuations and instability in the financial system, which may lead the market to a state
in which trading volumes quickly expand and saturate the demand of investors. This situation makes the
market seem arbitrage-free, efficient, and complete, but it occurs at the expense of stability.
In Dimsdales 2009 analysis, financial innovation also appears as one of the causes of the global financial
crisis that started in 2007, inserted in a framework of excessive risk-taking following a prolonged period of
macroeconomic stability. For this author, problems initially arise with the increase in defaults in the subprime
mortgage market in the United States, leading to a drop in the Asset Backed Securities (ABS) market in
mid-2007. Liquidity problems then arose in the interbank market, affecting banks around the world. The
bankruptcy of Lehman Brothers in September 2008 was the turning point, confirming that the world was
facing a systemic financial crisis (Dimsdale, 2009). Petersen et al. (2011) argue that the subprime mortgage
crisis was mainly caused by the intricate and complex securitization design of these mortgages, which led to
information asymmetry, contagion, inefficiency and loss issues, pricing opacity, and inefficient risk mitigation.
In the assessment of Battiston et al. (2012a), the diversification of individual credit risk has the potential
to generate ambiguous effects at the systemic level, particularly during a credit crisis. The benefit of mitigating
results from defaults would be offset by a situation in which agents are more exposed to credit runs due to
the high number of counterparties. In particular, these authors argue that the structure of interrelationships
and the differences in financial robustness levels should be considered when establishing policies that aim to
strengthen the vitality of the financial market.
Addressing the regulatory framework, Vallascas and Keasey (2012) argue that restrictions on leverage
and imposing liquidity requirements can enhance the resilience of financial entities to systemic events. In
turn, the results suggest that the size of the bank, the share of non-interest income, and asset growth are
key determinants of the risk exposure of a bank and that these elements are not at the center of the new
regulation. More specifically, the requirement of a cap on absolute bank size can be, in these authors view,
an effective tool for reducing a banks risk of default, given the occurrence of systemic events (Vallascas and
Keasey, 2012).
For Battaglia and Gallo (2013), securitization increases the likelihood of banks becoming systemically
more risky. Thus, in severe scenarios, banks that securitize would have higher expected losses on avarege,
which would suggest that the risk transfer by securitization is not significant in relation to the risk maintained
by the originating bank (Battaglia and Gallo, 2013). Critics of securitization (Simkovic, 2013) suggest that the
complexity inherent in the process ends up limiting the ability of the investor to monitor risk. Furthermore,
according to Simkovic (2013), the very dynamics of competition in a market with many securitization agents
would have lowered the safety standards in the pre-crisis period.
Carbo-Valverde et al. (2015, p. 36) state the following: a securitization instrument that retains risk
(covered bond) may induce a more prudent risk behaviour of bank than an instrument that provides risk
transferring (ABS).
Securitization and leverage are constituted as related problems because, as Acharya and Richardson
(2009) argue, financial institutions were allowed to keep the securitized assets off-balance-sheet to avoid
needing to hold capital buffers to guarantee them; in addition, they were able to hold a reduced amount of
capital against the AAA-rated tranches of the securitized mortgages remaining on the balance sheets, all
of which led to risky capital structures and an underassessment of credit risk, thereby increasing systemic
risk. In turn, Adrian and Shin (2009) study the relationship between leverage and liquidity. For them, in an
environment where mark-to-market balance sheets are common, adjustments in asset prices are immediately
reflected in changes to net worth and lead institutions to adjust the size of their financial statements. Thus,
they conclude that in a mark-to-market context, leverage is pro-cyclical, which also enhances systemic risk.
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Leverage increases the individual risk of banking firms, implying higher vulnerability to financial shocks
(Papanikolaou and Wolff, 2014). Reversing the level of leverage, on the other hand, is beneficial to the health
of banks individually but detrimental to financial stability. For these authors, banks that focus on traditional
lines of business are less risky than financial institutions that trade modern financial instruments; additionally,
the literature would identify the high leverage of financial institutions, on a global scale, as a key factor in the
severe structural weakness and the adverse market dynamics during the pre-crisis period. For Papanikolaou
and Wolff (2014), regulatory changes and technological advances have largely changed the banking system;
in response, banks have aimed to create new products and broaden their activities to areas of business that
were previously not explored (Papanikolaou and Wolff, 2014).
According to Anginer et al. (2014a), bank competition also affects systemic risk in a robust negative
relationship. Increased competition encourages banks to diversify risk, indirectly making the system less
vulnerable to shocks. Banking systems are more fragile in countries with weak private supervision and
monitoring, more state-owned banks, and policies that restrict competition. These researchers conclude that
the negative effect of the lack of competition may be mitigated by an institutional environment that enables
efficient public and private monitoring (Anginer et al., 2014a). Consistent with this finding, Cubillas and
Gonzlez (2014) states that financial liberalization increases bank risk taking. In developed countries, strong
competition among banks increases risk taking, whereas in developing countries, new opportunities to take
risks drive risk-taking behavior.
Ghosh (2016) examines the impact of financial services liberalization on banking crises and finds that
greater banking sector globalization diminishes their occurrence, while bank asset concentration increases
their likelihood. The results of the study show that foreign bank presence implies stronger financial stability
in the financial system of host nations. This is coherent with Nicol and Juvenal (2014), who analyze the
relevance of measures of financial integration and globalization for real activity.
Exploring another aspect, Glasserman and Young (2014) consider the interconnectivity of the modern
financial system as a key factor in understanding the recent financial crisis: Due to the complex network
of connections among financial organizations, critical changes in a part of the system can affect others,
representing a threat to the financial instability of the entire system. According to these authors, examples
include the effects of the Lehman Brothers bankruptcy, the failure of AIG, and the exposure of European
banks to sovereign default risks.
Regarding the systemic importance of institutions, there is a rich literature that analyses the impact
of size, complexity, and interconnectivity, in particular on banks, for the composition of systemic risk. For
Arinaminpathy et al. (2012), large and well-connected banks are critical for financial stability since collapses
are not only large and widespread but also threaten trust in the market. Therefore, placing tougher capital
requirements on big banks can improve the resilience of the system. Furthermore, these effects would be
more pronounced in less diluted systems (Arinaminpathy et al., 2012).
Systemically Important Financial Institutions (SIFIs) are defined by Banulescu and Dumitrescu (2014)
as institutions whose chaotic failure due to their size, complexity, and interconnectivity would significantly
disrupt the financial system, harming economic activity. The Basel Committee on Banking Supervision
classifies useful factors for determining whether a bank is systemically relevant and the exact factors of
systemically fundamental global banks (G-SIBs). In addition to the three factors noted above and their global
activity (cross-jurisdiction), the Basel Committee includes banks in this category if there are no readily
available substitutes for the financial infrastructure that they provide (Banulescu and Dumitrescu, 2014).
Another concept, Too Big To Fail institutions (TBTF), has become an important public policy debate
and, according to Kaufman (2014), has not been concluded due to disagreements about definitions. In
banking, definitions vary widely and differ according to which counterparties of insolvent covered firms may
need to be protected to minimize collateral damage, caused directly or indirectly by the failure, which third
parties fund the protection, and for what reason (Kaufman, 2014, p. 221).
4.3. Measuring systemic risk
Even without a precise definition, because it is a field of study in development, there are several elements
that are present in the various definitions that complement each other and make it possible to understand
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what systemic risk is. However, how can systemic risk be measured? Once there are different starting points for
systemic shocks, distinct approaches to defining and measuring systemic risks are necessary (Abdymomunov,
2013).
According to Danelsson (2002), a growing body of evidence exposes the limitations of risk-modelling
technology and imperfect regulatory structures; these models therefore act more as placebos than as a
scientific means of preventing crashes. For this author, market data are endogenous to market behavior, and
statistical analysis performed during times of stability would not be useful in times of crisis. Danelsson
(2002) views Value-at-Risk (VaR) modelling as not robust and excessively volatile. Moreover, he states that,
for regulatory use, this type of analysis may provide misleading information about risk and even increase
both idiosyncratic and systemic risk, imposing costs on financial institutions arising from inadequacy in the
allocation of capital and frequent portfolio rebalancing (Danelsson, 2002).
In the view of Huang et al. (2009), traditional regulatory measures have focused on information from
bank balance sheets, such as the proportion of non-performing loans, profitability, liquidity, and capital
adequacy ratios. However, because the balance information is available only a few times during the year,
with considerable lag, it is increasingly relevant to monitor the health of the financial system taking into
account data from the markets (Huang et al., 2009).
The joint 2009 report by the IMF, Bank for International Settlements (BIS), and Financial Stability
Board (FSB) proposes indicators for size, interconnectedness, and substitutability to measure the systemic
importance of an enterprise (IMFBISFSB, 2009). Thomson (2009) proposes the four Cs (Contagion,
Concentration, Correlation, and Conditions) as criteria for determining the systemic importance of a firm.
Regulators generally focus on indicators related to the financial health of banks, such as balance sheets
and liquidity indicators. There are still many indices of more comprehensive financial conditions, typically
constructed using a weighted sum of indicators or a principal components method, for example, Bloomberg
FCI, Goldman FCI, and the Kansas Fed Financial Stress Index.
The European Central Bank publishes the Composite Indicator of Systemic Stress (CISS), which uses
both market and supervision data. According to Holl et al. (2012), systemic financial stress occurs when
market participants experience great uncertainty and change their expectations on future losses, asset values,
and economic activity. Because these stress measures depend on the selection of criteria and the use of
financial variables, their performance is sensitive to their causes. The CISS aggregates five sub-indices that
represent the most important segments of the financial system namely, the banking and non-banking
intermediaries sector, the money market, and the stock, securities, and currencies markets taking into
account the cross-correlations between sub-indices over time. The CISS places relatively more weight on
scenarios where stress affects many markets simultaneously and is therefore more systemic (Holl et al.,
2012).
Many other forms of systemic risk measurement are found in the literature. Bisias et al. (2012) designate
31 quantitative measures of systemic risk; Segoviano and Goodhart (2009) make use of the multivariate
density of the adjusted portfolio tail financial sector companies; Khandani and Lo (2008) and Hu et al. (2013),
by their turn, use liquidity measures; Kritzman and Li (2010) and Li et al. (2013) use the Mahalanobis
distance metric; Adrian and Brunnermeier (2010) measure the Value-at-Risk (VaR) of the financial sector,
with a conditional analysis of the VaR of a single bank using quantile regressions; Kritzman et al. (2011) use
the absorption ratio; Zheng et al. (2012) use the growth rate of the principal components of the correlation
matrix of assets returns; and Patro et al. (2013) use the correlations of stocks returns of financial institutions
as a systemic risk indicator.
Several authors, such as Patro et al. (2013) and Kritzman et al. (2011), seek information only on asset
prices to assess systemic risk. These prices have the advantage of being easily accessible compared to others
related to the balance sheets and financial indicators of companies. In addition, the information reflected in
asset prices is always forward looking. According to Patro et al. (2013), if the primary purpose is to monitor
the ongoing systemic risk level to preclude systemic losses, then analyzing early warning metrics such as
stock prices can convey relevant information.
For Gropp et al. (2002), assets issued by banks are especially useful to monitor since the market prices of
securities can impact the funding cost of banks. The market can play a particularly useful role in disciplining
the risk of large, complex, and internationalized organizations. Market information can be followed up at a
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very high frequency and can complement traditional balance sheet data when checking for possible bank
weaknesses. Therefore, market information can provide early signs for banks that must be better scrutinized.
According to Rodrguez-Moreno and Pea (2013), periods of general turmoil in the financial system can
have multiple causes, and therefore, a single systemic risk measure may be neither appropriate nor desirable.
Ellis et al. (2014a) follow this same line; for them, diversity within the financial system also supports the fact
that it is unlikely that a single systemic risk measure or a single financial stability policy instrument can be
universally applicable.
5. Results of the literature analysis
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The results of classification according to items 1 and 2 are summarized in Table 9, which shows the
predominance of empirical studies and the massive presence of studies with a quantitative approach. There
are only a total of eight survey-type studies (questionnaires) and literature reviews.
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The results for each category analyzed are presented next.
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Object: Table 10 shows the classification of the sample according to item 3 (Object of Study). The
most relevant object(s) of each article were isolated. Only one object was assigned to 103 articles,
two objects to 96 articles, three objects to 57 articles, and 10 objects to only nine articles. There
were a large number of articles that address aspects of regulation, which is not surprising, given the
nature of the subject and the search criteria, which also used the expression financial stability. The
objects market risk, credit risk together with default, counterparty and sovereign risks, contagion
and interconnectivity/interdependence were also numerically noteworthy. A total of 33 articles
simultaneously addressed contagion and interconnectivity/interdependence, which indicates a strong
link between these objects. The item regarding the size of the institutions appeared with a lower weight.
The lower frequency of the concept of too big to fail, compared to the concept of too interconnected
to fail reveals the greater weight given by researchers to the latter as a systemic risk factor. The item
concentration and the related items diversification and competition were addressed in only 19
articles and may deserve greater attention from researchers in future studies.
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The item Others includes topics such as leverage/derivatives (addressed in 10 articles); securitization
and proliferation/complexity of financial instruments (six articles); bank governance, including executive
compensation and performance strategies (five articles); conglomeration/consolidation (five articles);
confidence/sentiment (five articles); monetary policy (five articles); mark-to-market/valuation (three
articles); deregulation (two articles); international financial integration (three articles); and modelling
risk (three articles); in addition, further topics include bubbles, market efficiency, complexity, taxation,
corporate governance, overlapping portfolios, prepayment risk, bank liquidity creation, shadow banking,
and the impact of information technology (IT), among others.
It is important to note that the object regulation encompassed a range of issues related to the
actions of regulatory bodies and supervisory practices, including the following: actions by central
banks, central bank transparency, Basel Accords, coordination mechanisms, capital allocation, limits to
the performance of financial institutions, NSFR (Net Stable Funding Ratio), debt ratios, regulation
credibility, regulatory ratio, accountability, deposit insurance, mark-to-market, and funding.
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Scope: This item is summarized in the graph below (Figure 3). Note that studies related to only one
country are greater in number. Blocks and regions have been less studied.
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Context: This item is summarized in the graph below (Figure 4). The great predominance of research
on developed countries is observed; this finding is to be expected, given the high concentration of
researchers in these countries. Despite the greater systemic importance of financial institutions in
developed countries, instabilities in the financial systems of emerging countries also have an important
impact, not only in their own economies and markets but also internationally. This fact reveals
an opportunity to perform a larger number of studies that address countries that are considered
undeveloped.
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Focus: The various focuses of the articles (item 6) and their frequency are shown in Figure 5. A total
of 33 articles addressed the financial system and financial institutions in a generic manner. In general,
studies in this classification discussed aspects of regulation or were theoretical articles, even if they
had a quantitative approach. Of those that focused only on specific institutions, 165 articles analyzed
only one type of institution/market segment, while 68 analyzed more than one type. Banks were
prominent and were studied in 174 of the 266 articles. The stock market was also the focus of study in
44 articles. A total of 31 articles focused on a particular country. The impact of systemic financial risk
on non-financial institutions (or vice versa) was studied in 29 articles, generally in conjunction with
the financial institutions themselves. Next were the insurers, which were studied in 27 articles. These
were followed by mortgages/real estate markets, which were analyzed in 11 articles, and investment
funds/hedge funds in six articles. The item Others included the remaining institutions, such as
exchange brokers, money market, clearing houses, and credit card companies. Although the emphasis
on banks is understandable given the impact that they have on systemic financial risk, there may also
be opportunities for greater diversification so that other types of institutions are addressed.
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There is room for a greater number of articles that focus on investment funds and mortgages given the
importance that they have for systemic stability. It is important to remember that it was the bursting
of the mortgage bubble that precipitated the financial crisis of 2007. Articles that analyze risk from the
perspective of countries totaled 31, including those that analyze banks and other institutions using a
cross-country approach, i.e., a comparison of the events in each country. Articles that study sovereign
risk numbered only 11, suggesting a large research gap in the literature sample given that problems
related to sovereign debt significantly affect financial stability. An example is the recent events related
to sovereign debt in the eurozone and their strong impact on regional and global economic and financial
stability.
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Period studied: Item 7 (Period studied) is shown in the graph below (Figure 6). It is notable that the
researchers chose to study longer periods, with 152 studying five years or more and only 16 studying less
than two years. A longer perspective for theoretical studies may be necessary to compare consecutive
crisis periods and periods of stability.
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Types of Data Analyzed: Item 8 (Types of Data Analyzed) is summarized in Table 11, which shows
that market and regulator data prevail when the articles use only one type of data; however, there is
greater balance when data types are used in combination, with less emphasis on macroeconomic data.
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Methods Used: Item 9 (Methods Used) is summarized in Table 12. Emphasis is given to econometric,
statistical, and multivariate analytical methods, which were used in 170 articles (alone or in conjunction
with other types of methods considered). It can be observed that other methods have been used much
less frequently, particularly simulation methods, which were used in only 30 articles and often in
conjunction with other methods.
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A variety of methods were used. Emphasis was given to the following: regression including multiple,
quantile, logit, and probit regressions (60 articles); network models, considered in the item mathematical
modelling (34 articles); correlation analysis (13 articles); extreme value theory (EVT) (12 articles);
factor models (principal component analysis (PCA), discriminant and cluster analyses) (12 articles);
GARCH models (15 articles); vector autoregression (VAR) (11 articles); Shapley value (five articles);
Monte Carlo simulation (four articles); copulas (five articles); consistent information multivariate
density optimizing (CIMDO) (3 articles); vector error correction (3 articles); agent-based models (two
articles); entropy models (two articles); group debt rank (GDR) (two articles); and the Jaccard index
matrix (3 articles), among others.
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Other models were also used, including from other fields of study; the Kalman filter, game theory,
particle physics, Ricci curvature, partial equilibrium models, catalytic reaction models, epidemic model,
stochastic optimal control, message-passing algorithms, asymmetric dynamic covariance (ADC) models,
the self-organizing financial stability map (SOFSM), the support vector machine (SVM), and random
matrix theory. Some auxiliary models used included the Merton credit risk model (nine articles);
Kealhofer, McQuown, and Vasicek model (KMV); distance to default; and portfolio analysis, among
others.
The systemic risk measures used included: Conditional Value-at-Risk (CoVaR), proposed by Adrian and
Brunnermeier (2010), used or discussed in 23 articles; Marginal Expected Shortfall (MES), proposed by
Brownlees and Engle (2010), used or discussed in 12 articles; credit default swap (CDS) spreads (10
articles); VaR including quantile VaR, component VaR, incremental VaR, and systemic VaR (five
articles); coherent measures (3 articles); and tail dependence (3 articles). The following measures were
also found: the Lerner index, Catastrophic risk in the Financial sector (CATFIN), Collateralized Debt
Obligations (CDOs), tail beta, financial index stress, LIBOR spreads, volatility, Volatility of Volatility
(VoV), the contagion index for each node (on a network), balance sheet ratios, the measure of joint
default, the house price index, the China Financial Stress Index (CFSI), the News Cohesiveness Index
(NCI), the number of bank failures, the Degree of Total Leverage (DTL), the Information Dissipation
Length (IDL), the systemic risk index based on the value of assets (SIV), Loss Given Default (LGD),
the Distress Insurance Premium (DIP) (2 articles), the Joint Probability of Default (JPoD), the Sector
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Diversity Index (SDI), the Correlation Response Index (CRI), the Implied Systemic Cost of Risk
(I-SCOR), Credit Risk Deviation (CRD), extreme downside risk, the sector dominance ratio, expected
systemic losses, Hirsch index, absorption ratio and the systemic importance score, among others.
Several articles analyzed the contribution of individual institutions to systemic risk, and some proposed
stress tests for institutions. However, it is remarkable that in the literature, no article proposed using
the systemic risk indices built for stress tests in asset portfolios.
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Results: Item 10 (Results) is presented in Table 13. Articles strongly based on the literature or that
replicate studies in other contexts are dominant. Comparative studies in which two or more other
studies and/or methods are compared are fewer.
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In general, when analyzing the results of classification of the literature on systemic financial risk, some
aspects may be highlighted that reveal gaps and opportunities for future studies. There seem to be relatively
few studies that involve bank concentration and its impact on systemic financial risk. The same can be said for
emerging markets. It is also noted that the literature on the subject is focused on banking institutions, which
is easy to understand, given the nature of the subject; however, this finding may also reveal an opportunity
for further studies of other types of financial institutions and their relationship with systemic risk.
Diverse methods are used; however, studies using computer simulations are far fewer compared to studies
using econometric methods or other statistical techniques or multivariate analysis. Some works compare
estimates of two or more systemic risk measures (Li et al., 2013; Madan and Schoutens, 2013; Mayordomo
et al., 2014; Weiss and Mhlnickel, 2014). Kupiec and Gntay (2016), using daily stock returns, define a
statistic to evaluate systemic risk using CoVaR and MES. Given the profusion of systemic risk measures in
the literature in recent years, there is still a large amount of room for conducting studies that compare the
effectiveness of the indicators and methods proposed in the studies.
To supplement the results presented above, an analysis of the citations of each article in the sample was
performed to identify the mainstream in systemic financial risk research, i.e., the major research networks
and the evolution of the discussion on systemic financial risk over time. Thus, within the initial sample,
relationships between articles were sought by analyzing the citations between these articles and the other
studies that they cited. It was possible to confirm that a large number of important articles were not included
in the sample, the composition criteria of which was explained at the beginning of Section 4. Thus, when
analyzing this new set of articles, the papers already cited and those that cited them were identified. More
specifically, articles not cited by other articles in the sample itself were excluded, and the articles not yet
present in the sample and that had at least five citations in Scopus and Web of Knowledge were included.
After this round of recording the citations of the selected manuscripts, the articles cited at least four times
by their listed peers and those that were still not on the list were included, proceeding again to the scrutiny
of the bibliographies. In a final round of refinement, articles that were cited by at least seven listed articles
and that were not yet on the list were included. The reference lists of articles from 2015 and 2016 that were
available for download on Scopus and Web of Science were also reviewed. A final round of analysis of the
articles that were cited eight or more times was performed. Some articles from 2012 onwards were included
even without reaching the total of eight citations because the period in which they had to be cited was
relatively smaller. Ultimately, the references of 398 articles were analyzed, and citations were checked for a
total of 3925 articles.
This process made it possible to measure the importance of each article not only by the number of
easily verifiable citations but also by the references of the researchers in the area. It also made it possible to
construct the citation networks. Thus, maintaining the criterion of a minimum number of citations between
pairs of the list of 398 scrutinized papers, the final list of 132 articles was reached; an additional 18 articles
were removed for demonstrating reduced importance in relation to the other articles in the first construction
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of the figures (point vertices), as described below. The 102 articles are listed in Tables 14 and 15; they are
numbered according to the chronological order of publication. This selection criterion enabled the list of
studies to be representative but not so extensive as to make it difficult to analyze the data and/or dilute the
reference character of the articles.
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The list of items and the table of articles cited versus the respective articles that cite them served as
inputs to the free software Pajek. Chronological ordering is required to use the software, which also requires
that the generated network of citations be acyclic; i.e., reciprocal citations or citations in a closed chain
are not allowed for the construction of figures (Figs. 9 and 10). Figures built with the help of this software
are shown below. For details on Pajek, see Mrvar and Batagelj (2014) and DeNooy et al. (2005). Figure 7
presents the network of citations of the articles.
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Figure 8 shows the most cited articles between the pairs in the list, which correspond to the major vertices.
In addition, the articles are divided into two research networks, purple (main) and blue (secondary). Darker
lines represent a greater link between the research studies.
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In Figure 9, these networks are separated.
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Figure 10 provides a view of the importance of each study within the field of research on systemic financial
risk.
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Figure 11 shows the evolutionary path of the main research network.

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5.1. Analysis of the main research path

Table 16 lists the articles that compose the main research path, as viewed by the researchers in the area,
a result found according to the method described above.
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Table 17 shows a classification that allows aspects of the studied articles to be compared.
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The oldest articles in this sample of 27 articles date from the 1970s1980s, and they mainly address bank
runs and panics and related subjects, such as liquidity problems. From there, other striking elements of
financial stability begin to be incorporated, and the articles begin to focus on methods of measuring systemic
financial risk. Starting in 2000, the vast majority of the articles address some method of measuring systemic
risk.
Interestingly, eight articles (see Table 17) study the systemic importance or the systemic risk attributed to
a specific institution. From this similarity, each article opts for a method to make attributions to institutions
in terms of their weight in the risk to the system. The measures and methods that are used for this purpose
are varied. Seven articles propose aggregate risk indicators for the financial system as a whole. It is important
to note that only Elsinger et al. (2005) use stress tests. The focus of these articles is mostly banks three
papers classified as reviews are more generic in this regard. No article analyzes emerging markets. Two
articles analyze global data, nine articles use data from the United States, and five articles analyze data from
European countries. Regarding the study period, Calomiris and Gorton (1991) review bank panics that have
occurred since the nineteenth century, and Allen and Gale (2007) analyze financial crises that have occurred
since the nineteenth century. Of the other studies, three focus only on the pre-2008 crisis period, and ten
analyze data that include the 2008 crisis.
Fifteen articles can be classified as theoretical and one is both theoretical and empirical. Three of these
are classified as reviews or comparative analyses, four are analytical, six use mathematical models, one
involves mathematical and network modelling, one involves statistical and mathematical modelling, and
one involves economic modelling. The other 11 studies are empirical and use econometric methods (seven
articles), network models (three articles) or simulation (one article).
The too central to fail phenomenon is a prominent factor in several articles and is considered more
impactful on systemic risk than too big to fail. Nine articles specifically analyze the effects of interconnectivity
and the consequent potential for contagion and spread of financial problems for the detection and measurement
of systemic risk.
Many of the articles found on this main research path propose systemic risk indicators: Allen and Gale
(2000a) propose a measure of preference for liquidity; Freixas et al. (2000a) an indicator of risk of contagion;
De Nicolo and Kwast (2002) the correlation of bank shares; and Degryse and Nguyen (2007) the intersection
of loss given the default (LGD) between banks. Other works focus on the systemic importance and the
systemic risk due to a specific institution; Adrian and Shin (2009) propose the variation of leverage and the
VaR/Assets relationship of the institution as a measure; Adrian and Brunnermeier (2010) propose the popular
CoVaR which measures the VaR of the entire financial system conditional on a particular institution
being in a given state; Acharya et al. (2010) the SES; Brownlees and Engle (2010) the MES; Huang et al.
(2011) the DIP; Billio et al. (2012) the degree of connectivity of the institution; and Glasserman and Young
(2014) the fraction of the institutions debts held by other financial institutions. Sandhu et al. (2016) use a
mathematical concept from topology, the Ricci curvature, as an economic indicator for systemic risk and
apply it to a set of stocks comprising the S&P 500.
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Correlation between assets and markets is always an important element in the analysis of systemic
financial risk because it seems that, empirically, in falling markets, volatility increases and assets move in a
more coupled manner, increasing systemic risk. Several articles use correlations as a direct or indirect measure.
De Nicolo and Kwast (2002) propose the correlation of bank stock returns as a systemic risk indicator;
Lehar (2005) the correlation between bank investment portfolios; Elsinger et al. (2005) the correlation of risk
exposures and mutual credit between banks. The three articles use econometric modelling.
Regarding the origin of the data, some articles in the main research path use balance sheet data. Elsinger
et al. (2006) use data from portfolios owned by banks, and Degryse and Nguyen (2007) use data from
aggregate interbank exposures. According to Drehmann and Tarashev (2011), it is unlikely that a regulatory
authority would directly use a more sophisticated tool to measure systemic risk; on the contrary, it must
observe these measures only to bring them closer to simpler and more reliable indicators specific to banks.
According to Elsinger et al. (2005), stock market data are most likely to reflect relevant public information
about risk exposure of a bank in financial markets that are highly developed. However, the data do not
necessarily convey private information, which can be restricted to supervisory bank microdata (Elsinger et al.,
2005). Thus, the private information that is contained in statements monitored by regulatory authorities is
of paramount importance (Elsinger et al., 2005).
However, according to Elsinger et al. (2005), methods that use market data can be readily applied in
contrast with methods based on proprietary information, e.g. supervisory data. Although such data sources
allow deeper analysis of risk factors, they are not broadly available and generally are restricted to supervisory
bodies. Market prices have the advantage of being easily accessible compared to data related to the balance
sheets and financial indicators of companies.
De Nicolo and Kwast (2002) use the stock prices of banks. According to Gropp et al. (2002), from a
supervisory perspective, assets issued by banks are interesting because the market prices of debt and shares
can increase the funding cost of banks. These are early signs calling for greater scrutiny (Gropp et al., 2002).
Of the empirical articles analyzed, the vast majority use market data in their models and analysis, with the
advantages and disadvantages discussed already above.
All articles discuss aspects of regulation, either directly or indirectly given the nature of the subject
discussed. Therefore, they are of interest to professionals involved in banking regulation. Research on systemic
financial risk is a multifaceted field of study. The diversity of subjects and objects that are present in the
articles includes market risk, liquidity risk, credit risk, contagion, leverage, bank consolidation, financial
diversification, and bank runs and panics.
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The literature on systemic financial risk is evolving. This finding was expected given the impact of the
2008 financial crisis on financial institutions and the financial system and the repercussions for the global
economy. The literature is comprehensive and reflects the very diversity of the subject and the multiple
aspects involved in the research. It is also characterized by its high quality, which also reveals the growing
importance of the subject and the large economic and social costs that are involved in financial crises. The
adequate functioning of the financial system fundamentally depends on the confidence of agents to a much
greater extent than in other sectors of the economy. Moreover, as argued by Hippler and Hassan (2015), the
profitability of all firms, financial firms in particular, is negatively affected by increases in macroeconomic
and financial stress. The subject involves regulatory aspects, as the economy in the broader sense must be
protected in addition to investors and depositors. In addition, there are repercussions for the management of
portfolios and the monitoring of specific markets.
Section 5 presented elements that appeared less frequently in the literature (GAP1 ); this was determined
based on a considerable sample of 266 articles that were available for download in the Scopus and Web of
Science databases. This work has limitations that result from the method adopted. By changing some criteria,
some articles could have been included and others excluded from the sample. The classification categories,
relevant at first, could also be modified depending on the researchers approach and interests. Nevertheless,
findings that can serve as a reference and help form the basis of a research agenda for researchers in the area
were presented.
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With regard to the most important articles concerning systemic financial risk as viewed by the researchers
themselves, a network of 114 articles considered to be important for advancing the subject was built. An
in-depth analysis of the 26 articles was performed that described the main path of this research field; it was
conducted according to the previously described method. There is a diversity of objects and approaches, as is
characteristic of the literature on the subject. Each article has its merits, whether by performing an analysis
that contributes to the field, by proposing innovative paths or useful risk measures for the measurement of
systemic financial risk, or by organizing and discussing information on the subject in important reviews. The
most recent articles, even without having been cited many times, have affirmed their importance because
they are recognized by other recent articles and are linked to an important network of studies.
Once again, the set of articles could have varied depending on the criteria adopted, with the exclusion
of some articles and the inclusion of others. However, what cannot be denied is the relevance of this set
of articles. In the literature, many articles focused on the systemic importance of specific institutions. It
would be interesting if there were more comprehensive and comparative studies of the measures of systemic
financial risk, applying them to the same set of banks, discussing the advantages and disadvantages of each
approach, and checking where they clash and where they complement each other; this could enhance the
monitoring of financial institutions in an interesting manner. This is also suggested for future studies.
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26
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ip
t
cr
170
86
134
61
Web of Knowledge Download
General Total
-8
7
132
35
10
25
35
157
12
52
10
266
ce
p
Duplicity inside the

database.
Addition of Web of
Knowledge.
Exclusions.
Totals.
Addition of 2015.
Addition of 2015 Web
of Knowledge.
Addition of 2015.
Addition of 2015 Web
of Knowledge.
General Total.
Systemic risk and financial stability.

Systemic risk and measure or indicator or
index.
us
Scopus Download
an
Total Scopus
te
Keywords
Ac
Table 1: Sample of articles on systemic financial risk.
27
Page 27 of 55
ip
t
cr
Number of Articles
us
Journal
ce
p
te
an
Journal of Financial Stability.

Journal of Banking & Finance.
Journal of Economic Dynamics and Control.
Physica A.
Journal of International Financial Markets, Institutions and Money.
Journal of International Money and Finance.
Scientific Reports.
Economic Modelling.
International Review of of Economics & Finance.
International Review of Financial Analysis.
Journal of Financial Intermediation.
Insurance: Mathematics and Economics.
Journal of Financial Services Research.
Journal of Econometrics.
Journal of Financial Economics.
National Institute Economic Review.
Review of Financial Studies.
Annals of Finance.
Annual Review of Financial Economics.
Economic Systems.
European Economic Review.
Financial Markets, Institutions and Instruments.
International Economics.
International Journal of Finance and Economics.
Journal of Central Banking Theory and Practice.
Journal of Empirical Finance.
Journal of International Economics.
Mathematical Finance.
Procedia Social and Behavioral Sciences.
Proceedings of the National Academy of Sciences of the United States of America.
Research in International Business and Finance.
The Spanish Review of Financial Economics.
Others.
41
35
11
11
8
8
7
5
5
5
5
4
4
4
3
3
3
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
74
Ac
Table 2: Number of articles published per journal.
28
Page 28 of 55
Study type.
Type of approach.
Object of study.
Scope.
Context.
Focus.
A Theoretical.
B Empirical.
C Both.
A Quantitative.
B Qualitative.
C Quantitative and qualitative.
D Review/Survey.
E Not applicable.
A Regulation.
B Market risk.
C Credit Risk/Default risk/Counterparty risk/Sovereign risk.
D Liquidity risk.
E Contagion.
F Size of institutions.
G Interconnectivity/Interdependence.
H Concentration/Diversification/Competition.
I Others.
J Not applicable.
A One country.
B More than one country.
C Region/Block.
D World.
E Not specified/Not applicable.
A Developed country.
B Undeveloped country.
C Both.
D Not applicable.
A Financial institutions in general.
B Banks.
C Stock market.
D Insurance companies.
E Investment funds/Hedge funds.
F Real Estate/Mortgages.
G General market (nonfinancial).
H Countries/Government Bonds.
I Other segments.
A Up to 2 years.
B From 2 to 5 years.
C From 5 to 10 years.
D More than 10 years.
E Not applicable.
A From market.
B From balance sheets.
C Macroeconomic.
D From regulators, IMF, and other bodies.
E Others.
F Not applicable.
A Econometric/Statistical/Multivariate analysis.
B Computational/Simulation.
C Mathematical modelling.
D Not applicable.
A New perspectives.
B Consistent with previously published literature.
C Replication to a different context or period.
D Comparative study.
E Not applicable.
ip
t
Encryption
cr
Meaning
Studied periods.
Types of data analysed.
Ac
ce
p
te
an
us
Rating
Methods used.
10
Results.
Table 3: Classification and coding used to analyse the articles.
29
Page 29 of 55
30
Page 30 of 55
1B
1B
1A
1A
1B
1C
1A
1B
1A
1A
1C
1B
1B
1B
1B
1B
1B
1A
1A
1B
1B
1B
1B
1B
1B
1B
1C
1C
1B
1A
1B
1A
1B
1B
1A
1B
1A
1B
1B
1B
1B
1B
1B
1B
1B
1C
1B
1A
1A
1A
1A
1A
1B
Ac
2A
2A
2C
2B
2A
2A
2B
2A
2C
2A
2A
2A
2A
2A
2A
2A
2A
2B
2B
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2B
2A
2A
2A
2A
2A
2A
2B
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2B
2B
2A
2B
2A
Approach
ip
t
Data
8A
8A
8A, 8B, 8D
8A, 8C, 8D
8A, 8B, 8C
8F
8D
8A, 8C
8F
8D
8E
8A
8A, 8B, 8C
8A, 8B
8A
8A, 8D
8A, 8B
8D
8D
8C, 8D
8A, 8B
8A, 8B, 8D
8A
8C, 8D
8A
8A
8E
8A, 8C, 8D
8A, 8B, 8C, 8D
8B, 8D
8A, 8B
8F
8D
8A
8F
8A, 8B, 8D
8D
8A
8A
8A, 8C
8A
8A
8A
8A, 8E
8A
8B
8A
8B
8D
8D
8F
8F
8A
cr
7D
7A
7D
7D
7D
7E
7D
7D
7E
7A
7E
7C
7C
7D
7D
7D
7D
7E
7D
7D
7D
7B
7B
7C
7B
7D
7E
7D
7C
7D
7C
7E
7B
7D
7E
7D
7B
7D
7D
7D
7C
7B
7C
7D
7D
7C
7D
7E
7D
7B
7E
7E
7C
Period
us
6C
6B, 6C
6A
6B
6B
6B
6A
6B
6F
6B
6B
6C
6B
6B
6A, 6G
6B, 6I
6B
6G
6G, 6I
6B
6B
6B
6A, 6H
6B
6B, 6H
6B, 6D, 6I
6B
6G
6B
6B
6B
6B
6B
6C
6B
6B
6E, 6I
6B
6C
6C
6B, 6C, 6D, 6I
6H
6B, 6H
6B, 6C
6B, 6D, 6E, 6I
6B
6C
6B
6B
6A
6B
6A
6C, 6I
Focus
an
5A
5C
5A
5C
5C
5D
5A
5C
5D
5B
5D
5C
5C
5C
5A
5A
5A
5C
5B
5B
5C
5A
5A
5A
5A
5A
5D
5A
5C
5A
5A
5D
5A
5C
5D
5C
5C
5A
5C
5A
5A
5A
5A
5A
5A
5A
5A
5D
5A
5A
5D
5D
5A
Context
4A
4D
4A
4D
4D
4E
4C
4D
4E
4A
4E
4D
4D
4D
4A
4B
4A
4D
4A
4C
4D
4C
4B
4C
4C
4A
4E
4A
4D
4B
4A
4E
4A
4D
4E
4D
4D
4C
4D
4A
4B
4B
4C
4A
4A
4B
4C
4E
4B
4A
4E
4E
4C
Scope
Table 4: Articles that compose the sample.
3B
3A, 3F
3A
3A
3C,3E
3E, 3G
3A
3B, 3D
3A, 3B, 3I
3A, 3E, 3G
3A,3C, 3E, 3G
3B
3A, 3I
3C, 3H
3G, 3E
3B, 3G
3F, 3G
3A
3A, 3I
3A
3B, 3C, 3G
3C, 3I
3A, 3C, 3E, 3G
3A
3C, 3G
3B, 3F, 3G
3I
3I
3B, 3F, 3G
3A, 3F, 3I
3I
3E, 3G
3C, 3G
3E, 3I
3A, 3H
3H
3A, 3C, 3D, 3I
3A, 3B
3B, 3E, 3G
3B
3B
3C
3B, 3C, 3G
3B, 3I
3D, 3E, 3G
3C, 3E, 3G
3B, 3C
3A, 3E, 3G
3A
3A
3A, 3I
3A, 3I
3B
Object
te
ce
p
Type
Study
Aboura and Wagner (2016)

Abreu and Gulamhussen (2013).
Adrian et al. (2015).
Aglietta and Scialom (2010).
Ahrend and Goujard (2015).
Aleksiejuk and Holyst (2002).
Alexander (2011).
Allen et al. (2012).
Allen and Carletti (2013).
Amini et al. (2013).
Amini et al. (2016)
Andersen et al. (2011).
Anginer et al. (2014a).
Anginer et al. (2014b).
Anufriev and Panchenko (2015).
Apostolakis and Papadopoulos (2015)
Arinaminpathy et al. (2012).
Arnold et al. (2012).
Arora and Rathinam (2011).
Ashraf et al. (2016)
Avramidis and Pasiouras (2015)
Baglioni and Cherubini (2013).
Balbs et al. (2016)
Balogh (2012).
Banerjee et al. (2016)
Banulescu and Dumitrescu (2014).
Barnea et al. (2015)
Barnett and Chauvet (2011).
Barth and Schnabel (2013).
Barth and Wihlborg (2016)
Battaglia and Gallo (2013).
Battiston et al. (2012a).
Battiston et al. (2012b).
Baur and Schulze (2009).
Beale et al. (2011).
Beck et al. (2013).
Bengtsson (2014).
Benoit (2014).
Berger and Pukthuanthong (2012).
Berger and Pukthuanthong (2016)
Bernal et al. (2014).
Bernal et al. (2016)
Betz et al. (2016).
Bianconi et al. (2015).
Billio et al. (2012).
Birch and Aste (2014).
Black et al. (2016)
Bluhm and Krahnen (2014).
Bordo et al. (2014).
Borio (2011).
Bosma (2016)
Bowden and Posch (2011).
Breitenfellner and Wagner (2012).
9A
9A
9D
9C
9A
9B, 9C
9D
9A
9D
9A, 9C
9B, 9C
9A
9A
9A
9A
9A
9A
9D
9D
9A
9A
9A
9A
9A
9A
9A
9C
9A
9A
9D
9A
9C
9A
9A
9A, 9B
9A
9D
9A
9A
9A
9A
9A
9A
9A
9A
9A, 9C
9A
9C
9D
9A, 9C
9C
9D
9A
Method
10A
10B
10B
10B
10B
10B
10A
10A
10D
10A
10B
10A
10A
10A
10B
10C
10B
10B
10B
10B
10A
10A
10B
10B
10B
10B
10B
10B
10B
10B
10C
10B
10A
10A
10B
10A
10B
10D
10B
10B
10C
10B
10B
10C
10A
10A
10B
10B
10D
10B
10A
10B
10B
Results
31
Page 31 of 55
1A
1A
1B
1A
1A
1B
1B
1B
1B
1A
1B
1B
1A
1B
1B
1B
1B
1B
1A
1B
1B
1B
1B
1B
1A
1C
1B
1A
1B
1A
1B
1B
1B
1B
1C
1B
1B
1B
1B
1C
1A
1A
1C
1C
1A
1B
1B
1B
1B
1A
1B
1B
1A
Ac
4E
4C
4A
4E
4E
4A
4B
4B
4B
4D
4A
4B
4E
4A
4B
4B
4A
4A
4C
4C
4A
4B
4D
4A
4E
4A
4C
4A
4D
4E
4B
4A
4E
4C
4B
4A
4C
4A
4C
4A
4B
4E
4E
4A
4A
4D
4D
4A
4B
4D
4A
4D
4D
5D
5A
5B
5D
5D
5A
5C
5A
5A
5C
5A
5A
5D
5A
5A
5A
5A
5A
5A
5A
5B
5A
5C
5A
5D
5A
5A
5A
5C
5D
5A
5A
5D
5A
5A
5A
5A
5A
5A
5A
5A
5D
5D
5A
5A
5C
5C
5A
5A
5C
5A
5C
5C
ip
t
Data
8F
8A, 8C, 8D
8C, 8D
8F
8F
8B
8A
8A
8A
8D
8B, 8D
8C, 8D
8F
8A
8B
8F
8C, 8D
8A
8B
8A
8B, 8C
8A, 8B, 8C
8D
8A
8A, 8B
8C, 8D
8C, 8D
8D
8D
8D
8A
8D
8F
8C, 8D
8A
8A
8A, 8B
8A
8A
8A
8D
8F
8B
8A
8A, 8C, 8D
8A
8A
8C, 8D
8A
8F
8A, 8D
8B
8F
cr
7E
7D
7C
7E
7E
7B
7D
7C
7B
7D
7D
7D
7E
7D
7D
7A
7D
7D
7E
7D
7C
7D
7C
7B
7E
7D
7C
7D
7D
7E
7C
7B
7E
7D
7D
7D
7D
7D
7C
7C
7A
7E
7E
7D
7B
7D
7D
7D
7D
7E
7B
7D
7D
Period
us
6G
6H
6A 6G
6A, 6G
6B
6B
6C
6B
6B
6A, 6I
6A
6A
6A
6A, 6C, 6G, 6H, 6I
6B
6B, 6G
6B, 6C, 6H
6C
6G
6B
6B
6B, 6C, 6G
6C, 6H
6B, 6C
6A
6B
6H
6G, 6I
6B
6B
6B, 6C, 6H
6B
6B
6B, 6H
6C, 6G, 6I
6B, 6D, 6F, 6I
6B
6B
6B
6H
6B, 6H
6B, 6I
6D
6B, 6C, 6D, 6F, 6I
6A, 6B, 6G
6C, 6H
6A, 6G
6H
6B, 6D, 6I
6B
6B
6B
6B, 6H
Focus
an
Context
Scope
te
3G, 3I
3C
3E
3I
3E, 3F, 3G
3C, 3E, 3I
3B, 3E
3B, 3C
3B, 3C
3A, 3C
3A, 3D, 3I
3A, 3I
3A, 3D
3B
3A, 3F, 3H
3C, 3I
3I
3B
3E
3B, 3F, 3G
3A, 3C, 3H
3C, 3E
3C, 3G
3B
3A, 3D, 3E
3H
3C, 3G, 3I
3A, 3E, 3I
3A
3A
3A, 3B, 3C
3A, 3C, 3I
3A, 3C, 3E
3C
3A, 3B, 3I
3B, 3I
3B, 3F, 3H
3G, 3H
3B
3C, 3E
3A, 3F
3D, 3E
3B
3B, 3C, 3G
3I
3B, 3H, 3I
3A, 3B, 3I
3A, 3C
3B
3A, 3I
3A, 3I
3A, 3I
3E, 3H, 3I
Object
Table 5: Articles that compose the sample (Continued).
2A
2C
2A
2A
2A
2A
2A
2A
2A
2B
2A
2A
2A
2A
2A
2A
2A
2A
2B
2A
2A
2A
2A
2A
2A
2C
2A
2B
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2B
2B
2A
2A
2B
2A
2A
2A
2A
2B
2A
2A
2A
Approach
ce
p
Type
Study
Burkholz et al. (2016)

Buti and Carnot (2012).
Cabrera Rodrguez et al. (2014).
Caccioli et al. (2009).
Caetano and Yoneyama (2011).
Calice et al. (2011).
Calice and Ioannidis (2012).
Calistru (2012).
Calms and Thoret (2013).
Calms and Thoret (2014).
Cao and Illing (2010).
Cambn and Estvez (2016)
Carmassi and Herring (2016)
Cerchiello and Giudici (2015)
Chatterjee (2015)
Civitarese (2016)
Castellacci and Choi (2015).
Castro and Ferrari (2014).
Chang et al. (2008).
Chan-Lau et al. (2012).
Chinazzi et al. (2013).
Choi et al. (2012).
Choi (2014).
Chu (2015).
Chuang and Ho (2013).
Chung et al. (2012).
Claessens et al. (2013).
Clark and Jokung (2015).
Conciarelli (2014).
Cox and Wang (2014).
Cruz and Lind (2012).
Dabrowski et al. (2016)
Danelsson (2002).
Danielsson et al. (2016)
De-Jonghe (2010).
De Nicolo and Kwast (2002).
Derbali and Hallara (2016a)
Derbali and Hallara (2016b)
Dermine and Schoenmaker (2010).
Devriese and Mitchell (2006).
di Bernardino et al. (2015).
Diebold and Yilmaz (2014).
Dimsdale (2009).
Donadelli and Paradiso (2014).
Duca and Peltonen (2013).
Dumii (2016)
Drakos and Kouretas (2015).
Ellis et al. (2014b).
Farruggio et al. (2013).
Fazio et al. (2015).
Fecht et al. (2012).
9B, 9C
9D
9A
9C
9A, 9B
9A
9B, 9C
9A
9A
9D
9A
9A
9C
9A
9A
9A, 9B
9A, 9C
9A
9C
9A, 9B
9A
9A
9A
9A, 9B
9C
9A
9A
9D
9A
9C
9A
9A
9B, 9C
9A
9A
9A
9A
9A
9A
9A, 9C
9D
9B
9C
9A
9D
9A
9A
9A
9A
9D
9A
9A
9C
Method
10B
10B
10C
10A
10C
10B
10A
10B
10B
10B
10A
10A
10A
10C
10B
10A
10B
10D
10C
10C
10C
10B
10B
10D
10B
10A
10A
10A
10C
10A
10A
10C
10B
10D
10A
10D
10A
10A
10C
10A
10B
10B
10A
10A
10B
10B
10A
10B
10C
10B
10B
10A
10A
Results
32
Page 32 of 55
1B
1B
1B
1C
1A
1A
1A
1A
1A
1A
1B
1C
1B
1A
1C
1A
1A
1B
1A
1A
1B
1B
1A
1A
1B
1B
1B
1A
1B
1C
1A
1B
1B
1B
1B
1B
1B
1B
1B
1B
1B
1B
1B
1B
1B
1B
1A
1B
1B
1B
1B
1C
1B
Ac
4B
4D
4C
4A
4E
4D
4E
4E
4E
4B
4A
4C
4D
4B
4E
4E
4E
4B
4E
4E
4D
4A
4E
4B
4A
4A
4A
4D
4A
4A
4E
4A
4A
4A
4D
4B
4A
4C
4A
4A
4D
4A
4A
4A
4A
4D
4E
4A
4D
4D
4B
4A
4D
ip
t
Data
8A
8C, 8D
8A
8D
8A
8F
8B, 8D
8E
8F
8F
8A, 8B, 8D
8B
8C, 8D
8A, 8C
8B, 8D
8E
8F
8A
8A, 8B, 8D
8A, 8D
8A, 8B
8D
8D
8F
8A
8A, 8B
8A, 8B
8F
8B, 8D
8A, 8B
8A, 8D
8B
8A, 8B, 8C, 8D
8A, 8B, 8D
8C, 8D
8A
8A
8A, 8B
8A
8A
8C, 8D
8A, 8D
8A, 8B
8D
8A
8D
8B, 8C
8A, 8C, 8D
8A, 8C, 8D
8A
8A
8B
8D
cr
7B
7D
7B
7A
7E
7E
7E
7E
7E
7E
7B
7A
7D
7D
7E
7E
7E
7D
7E
7E
7B
7D
7E
7E
7D
7C
7D
7E
7C
7C
7E
7A
7D
7D
7D
7C
7C
7B
7C
7B
7D
7C
7D
7D
7D
7B
7E
7B
7D
7C
7B
7C
7D
Period
us
6C
6B
6H
6B
6B, 6G
6B
6B, 6G, 6I
6B
6C
6A
6B
6B
6B, 6H
6B, 6C, 6D, 6F,
6B
6B
6B
6B, 6D, 6I
6B
6A, 6B
6B
6B
6B
6B, 6G, 6H
6B, 6C, 6D
6B, 6D, 6I
6B
6B
6B
6A
6F
6B
6B, 6F, 6G
6D
6G
6A, 6C, 6G
6B
6B
6B
6B, 6D, 6I
6B, 6I
6C, 6H, 6I
6B
6B, 6I
6B
6B
6B
6E
6B
6E
6B, 6D
6B
6G
Focus
an
5A
5C
5A
5A
5D
5C
5D
5D
5D
5A
5A
5A
5B
5A
5D
5D
5D
5A
5D
5D
5C
5B
5D
5C
5A
5A
5A
5C
5A
5A
5D
5B
5A
5A
5C
5A
5A
5C
5A
5B
5C
5A
5A
5A
5A
5C
5D
5A
5A
5C
5A
5A
5C
Context
Scope
te
3B, 3E
3A, 3H
3C, 3E, 3G
3C, 3E, 3G
3B, 3I
3A, 3D, 3E
3A, 3C, 3G, 3I
3G, 3H
3G
3A
3A, 3C, 3G, 3I
3A, 3D
3I
3C, 3I
3E, 3G, 3I
3I
3A, 3D, 3I
3B, 3E
3E, 3F, 3G
3E, 3G
3A, 3C
3C
3A, 3E, 3G, 3I
3B
3B
3B, 3G
3B, 3C
3E
3B, 3D, 3E, 3G
3B
3C, 3I
3C, 3F, 3G
3A, 3B
3B, 3C
3A, 3I
3B, 3C
3C
3A, 3B, 3C
3C, 3F, 3G
3B
3A, 3I
3D
3B
3G
3G
3A, 3D
3C, 3E, 3I
3C, 3E
3A, 3C
3B, 3E, 3G
3G, 3H
3D, 3E
3G
Object
2A
2A
2A
2A
2A
2B
2A
2B
2A
2B
2A
2A
2A
2B
2A
2A
2B
2A
2A
2A
2A
2A
2A
2D
2A
2A
2A
2D
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
Approach
ce
p
Type
Study
Flix et al. (2016)

Fernndez et al. (2016)
Fernndez-Rodrguez et al. (2016)
Fink et al. (2016)
Framstad (2004).
Freixas et al. (2000).
Gabbi et al. (2014).
Gaffeo and Molinari (2015)
Gao et al. (2015).
Garicano and Lastra (2010).
Gauthier et al. (2012).
Georgescu (2015).
Ghosh (2016)
Giglio et al. (2016)
Glasserman and Young (2014).
Gmez (2015)
Goodhart (2010).
Gravelle and Li (2013).
Grilli et al. (2014b).
Grilli et al. (2014a).
Grira et al. (2016)
Guerra et al. (2016)
Haldane and May (2011).
Hammoudeh and McAleer (2015).
Han et al. (2016)
Hrdle et al. (2016)
Hasan et al. (2015).
Hasman (2013).
Hausenblas et al. (2015).
Hautsch et al. (2015).
Hawkins (2011).
He and Chen (2016)
Hippler and Hassan (2015).
Hirtle et al. (2016)
Horvth and Vako (2016)
Hu et al. (2016)
Huang et al. (2009).
Huang et al. (2012b).
Huang et al. (2012a).
Huang et al. (2016)
Hutchison (2002).
Iachini and Nobili (2016)
Idier et al. (2014).
Iori et al. (2008).
Iori et al. (2015).
Jacobs and Van Vuuren (2014).
Jin and Zeng (2014).
Jin and Nadal De Simone (2014b).
Jin and Nadal De Simone (2014a).
Jinjarak and Zheng (2014).
Jobst (2013).
Jobst (2014).
Joseph et al. (2014).
9A
9A
9A
9A
9C
9D
9A, 9C
9C
9B, 10C
9D
9A, 9C
9B, 9C
9A
9A
9C
9C
9D
9A
9A
9B, 9C
9A
9A, 9C
9C
9D
9A, 9B, 9C
9A
9A
9D
9B, 9C
9A, 9C
9A, 9C
9C
9A
9A
9A
9A
9A, 9B
9A
9A
9A
9A
9A
9A
9A
9B, 9C
9A, 9C
9C
9A
9A
9A
9A
9A, 9C
9A, 9C
Method
10B
10B
10C
10B
10A
10B
10A
10B
10B
10D
10B
10B
10B
10D
10B
10A
10B
10C
10B
10B
10B
10C
10A
10D
10B
10C
10A
10D
10B
10B
10B
10C
10B
10B
10A
10B
10B
10C
10B
10C
10B
10B
10D
10B
10A
10C
10C
10B
10A
10C
10A
10A
10A
Results
33
Page 33 of 55
1B
1B
1B
1B
1A
1B
1B
1A
1A
1A
1C
1B
1B
1B
1B
1B
1B
1B
1A
1A
1B
1C
1A
1B
1B
1A
1A
1B
1B
1A
1B
1B
1B
1A
1A
1B
1B
1A
1B
1B
1A
1B
1B
1A
1A
1B
1B
1B
1B
1A
1B
1B
1C
Ac
d
te
3E, 3G
3C, 3E, 3G
3G
3C, 3E, 3G
3A, 3D
3C, 3G
3B
3A
3A
3A
3A, 3C
3B, 3C
3A, 3E, 3G
3B, 3C, 3D
3C
3B, 3C, 3D
3B, 3E
3A, 3G
3A
3A
3A, 3B, 3C
3A
3A
3A, 3D, 3E, 3I
3B, 3G
3F
3A, 3I
3B, 3E
3H
3I
3G
3E
3G
3G
3G
3F, 3G, 3I
3G
3A
3C
3H, 3I
3D, 3E, 3G, 3H
3B, 3G
3B
3A
3A
3C
3E
3B, 3I
3B, 3C
3I
3B
3E
3I
Object
9A
9A, 9C
9C
9C
9C
9A
9A, 9C
9D
9D
9D
9C
9A, 9B
9B, 9C
9A
9A
9A, 9B, 9C
9C
9A
9D
9D
9A
9A, 9B, 9C
9D
9A
9A
9A, 9C
9D
9A
9A
9D
9A
9A, 9B, 9C
9A
9C
9C
9A
9B, 9C
9D
9A
9A
9B, 9C
9A, 9C
9A
9D
9D
9A
9C
9A
9A
9C
9A
9A, 9C
9A
Method
ip
t
Data
8C, 8D
8B, 8D
8D
8B
8F
8A
8A, 8D
8F
8F
8F 8
8B
8A
8D
8A, 8C
8C, 8D
8A, 8B
8D
8A, 8C, 8D
8F
8D
8A, 8B
8D
8F
8B
8A, 8B
8F
8F
8A, 8B
8A
8F
8B, 8D
8B, 8D
8D
8B
8B, 8D
8A, 8B
8F
8A, 8D
8A, 8B
8A, 8B
8B, 8D
8A
8A
8F
8F
8A, 8D
8B, 8D
8A, 8B, 8C
8A
8F
8A, 8E
8D
8A
cr
7D
7C
7B
7D
7E
7D
7D
7E
7E
7E
7E
7A
7E
7C
7D
7D
7D
7C
7E
7D
7C
7D
7E
7C
7D
7E
7E
7C
7B
7E
7A
7A
7C
7E
7E
7C
7E
7B
7C
7D
7E
7D
7C
7E
7E
7C
7C
7D
7D
7E
7A
7C
7D
Period
us
6H
6B
6B
6D
6B
6C
6C
6E
6A
6G
6B
6B, 6C
6B
6B
6B, 6D
6B
6B
6B
6A
6B, 6I
6B
6D
6A
6B
6B
6A
6G
6B, 6G, 6H
6B, 6C, 6D
6B
6B
6B
6B
6B
6B
6B
6A, 6H
6A
6B, 6D, 6F, 6I
6B, 6D
6B
6C
6C
6B
6A, 6B
6H
6B, 6H
6B
6B, 6C
6F, 6I
6A, 6C, 6I
6B
6C
Focus
an
5C
5C
5A
5C
5D
5A
5A
5D
5A
5D
5D
5A
5D
5A
5C
5A
5B
5B
5A
5B
5A
5A
5A
5A
5A
5D
5A
5A
5A
5A
5B
5B
5B
5D
5D
5A
5A
5A
5C
5C
5D
5C
5A
5D
5C
5A
5A
5A
5A
5D
5C
5B
5A
Context
4D
4D
4A
4D
4B
4A
4A
4E
4A
4E
4E
4A
4E
4A
4D
4D
4A
4A
4A
4A
4A
4A
4B
4B
4A
4E
4B
4C
4A
4B
4A
4A
4A
4E
4E
4A
4B
4B
4D
4D
4E
4D
4B
4E
4D
4C
4C
4A
4A
4E
4D
4A
4B
Scope
2A
2A
2A
2A
2A
2A
2A
2B
2B
2B
2A
2A
2A
2A
2A
2A
2A
2A
2B
2B
2A
2A
2B
2A
2A
2A
2B
2A
2A
2B
2A
2A
2A
2A
2B
2A
2A
2C
2A
2A
2A
2A
2A
2B
2D
2A
2A
2A
2A
2A
2A
2A
2A
Approach
ce
p
Type
Study
Kalemli-Ozcan et al. (2013).

Kanno (2015b).
Kanno (2015a).
Kanno (2016)
Kara (2016)
Kerste et al. (2015).
Khashanah and Yang (2016)
King and Maier (2009).
Krainer (2012).
Kroeger (2015).
Kupiec (2016)
Kupiec and Gntay (2016)
Ladley (2013).
Lee et al. (2013).
Lee et al. (2016)
Lehar (2005).
Levy-Carciente et al. (2015).
Li et al. (2013).
Liang (2013).
Liang (2016)
Liao et al. (2015).
Liu et al. (2015).
Lombardi and Moschella (2016)
Lpez-Espinosa et al. (2013).
Lpez-Espinosa et al. (2015).
Lu and Hu (2014).
Lupu (2015).
MacDonald et al. (2015).
Madan and Schoutens (2013).
Marin (2013).
Martnez and Len (2016).
Martinez-Jaramillo et al. (2010).
Mastromatteo et al. (2012).
May (2013).
Mayordomo et al. (2014).
Mezei and Sarlin (2016)
Milne (2009).
Milne (2014).
Mhlnickel and Wei (2015)
Nier et al. (2007).
Nobi et al. (2014).
Oh et al. (2015).
Oort (1990).
Oosterloo and De Haan (2005).
Pagano and Sedunov (2016)
Paltalidis et al. (2015).
Papanikolaou and Wolff (2014).
Patro et al. (2013).
Petersen et al. (2011).
Pikorec et al. (2014).
Poledna et al. (2015).
Poon et al. (2003).
10A
10B
10B
10A
10B
10A
10B
10B
10D
10A
10B
10D
10B
10D
10B
10A
10C
10A
10B
10B
10B
10B
10B
10A
10C
10B
10B
10B
10D
10A
10B
10C
10C
10A
10A
10D
10B
10B
10C
10B
10C
10B
10A
10B
10B
10B
10B
10A
10A
10A
10A
10A
10A
Results
34
Page 34 of 55
1B
1B
1B
1B
1B
1B
1B
1B
1B
1C
1B
1B
1B
1B
1C
1B
1B
1B
1B
1B
1B
1B
1C
1B
1B
1B
1A
1A
1B
1A
1B
1C
1B
1A
1B
1B
1B
1B
1C
1A
1B
1A
1A
1B
1B
1A
1A
1B
1B
1A
1B
1A
1B
1B
Ac
us
Focus
6B, 6D
6B, 6F
6I
6H
6H
6B, 6C, 6I
6B
6B
6B, 6C, 6D
6C
6B, 6C, 6I
6B
6B, 6C, 6D, 6G, 6I
6B, 6D, 6I
6F
6A
6B
6B
6B, 6I
6B
6A
6B
6B, 6F, 6G
6H
6B
6B, 6D, 6I
6B
6B
6B
6I
6B, 6I
6B
6C
6B
6B, 6H
6B, 6H
6B
6B
6B
6A
6C, 6I
6B, 6D, 6I
6B, 6E, 6I
6D
6B
6B
6A, 6I
6B
6B
6A
6C
6B
6A, 6G
6G, 6H
an
5C
5A
5A
5A
5B
5A
5C
5A
5A
5A
5C
5A
5C
5A
5D
5B
5A
5A
5B
5B
5B
5B
5A
5B
5A
5A
5D
5C
5B
5D
5B
5B
5A
5C
5A
5A
5A
5A
5D
5C
5C
5C
5A
5A
5C
5D
5A
5B
5B
5D
5A
5D
5B
5C
Context
4D
4B
4B
4C
4C
4B
4C
4C
4C
4A
4D
4C
4D
4A
4E
4A
4B
4C
4A
4A
4D
4B
4A
4A
4B
4A
4E
4B
4A
4E
4A
4A
4B
4B
4B
4A
4A
4A
4E
4C
4D
4D
4B
4A
4D
4E
4C
4A
4A
4E
4A
4E
4A
4B
Scope
te
3C, 3G
3B, 3C
3B
3C
3C
3B
3B, 3C, 3H
3D, 3E, 3G, 3I
3C, 3E, 3G
3B
3I
3A, 3I
3C, 3E
3B
3B
3D, 3E, 3G
3B, 3E, 3G
3C
3E, 3G
3C, 3E
3A, 3D
3C, 3E, 3G
3A, 3I
3C
3E
3C
3A
3E, 3G
3B, 3I
3C
3C
3A, 3D, 3I
3I
3E, 3G
3A, 3E, 3F, 3I
3B, 3C
3D
3D, 3E
3C, 3E, 3G
3A
3B
3A, 3F, 3I
3A, 3I
3F, 3I
3H
3D, 3H, 3I
3A
3E, 3G
3E, 3I
3A
3B, 3I
3A, 3G, 3I
3B, 3I
3B
Object
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2A
2D
2D
2A
2B
2A
2A
2A
2A
2A
2A
2A
2A
2A
2D
2A
2B
2B
2A
2A
2D
2B
2A
2A
2D
2A
2A
2A
2A
Approach
ce
p
Type
Study
Pourkhanali et al. (2016)

Puliga et al. (2014).
Quax et al. (2013).
Reboredo and Ugolini (2015a).
Reboredo and Ugolini (2015b).
Rodrguez-Moreno and Pea (2013).
Rsch and Scheule (2016).
Roukny et al. (2013).
Saldas (2013).
Sandhu et al. (2016)
Sarlin and Peltonen (2013).
Schoenmaker and Siegmann (2014).
Schwaab et al. (2014).
Sedunov (2016)
Shiller et al. (2013).
Silva et al. (2016).
Simpson and Evans (2005).
Singh et al. (2015).
Solorzano-Margain et al. (2013).
Souza et al. (2015).
Souza (2016)
Souza et al. (2016)
Stein (2011).
Stolbov (2016)
Straetmans and Chaudhry (2015).
Suh (2012).
Summer (2003).
Summer (2013).
Tabak and Staub (2007).
Terzi and Uluay (2011).
Tian et al. (2015)
Tsenova (2014).
Uechi et al. (2015).
Upper (2011).
Vallascas and Keasey (2012).
van Bekkum (2016)
van den End (2009).
van den End and Tabbae (2012).
Vitali et al. (2016)
Vlahovi (2014).
Vodenska et al. (2016)
Walter (2009).
Walter (2012).
Weiss and Mhlnickel (2014).
Weiss et al. (2014).
Wilson et al. (2010).
Wymeersch (2010).
Xie et al. (2016)
Yao et al. (2015).
Yaqoob and Khan (2011).
Zheng et al. (2012).
Zhou (2013).
Zhu et al. (2012).
Zigraiova and Jakubik (2015).
cr
7D
7C
7D
7D
7B
7C
7D
7D
7C
7D
7C
7A
7D
7D
7E
7B
7D
7C
7D
7D
7B
7B
7D
7B
7D
7D
7E
7E
7B
7C
7C
7A
7D
7E
7D
7A
7A
7C
7E
7E
7D
7D
7E
7B
7D
7E
7B
7C
7A
7E
7D
7E
7C
7D
Period
ip
t
8A
8A, 8D
8A
8A
8A
8A, 8B
8A, 8B
8B, 8D
8A
8A
8C, 8D
8B, 8C
8A, 8C
8A, 8B, 8D
8F
8D
8A
8A
8A, 8C, 8D
8D
8D
8D
8B, 8D
8A
8A
8A
8F
8B
8A, 8C
8D
8B, 8C
8B, 8C, 8D
8A
8B, 8D
8A, 8B, 8C
8A
8D
8B
8E
8F
8A
8D
8F
8B
8A, 8B, 8C, 8D
8F
8F
8B
8B
8F
8A
8D
8A, 8C, 8D
8A, 8C
Data
9A
9A, 9C
9A
9A
9A
9A
9A
9A, 9B, 9C
9A
9C
9A
9C
9A, 9B
9A
9C
9C
9A
9C
9A
9C
9C
9C
9A, 9C
9A
9A
9A
9D
9D
9A, 9C
9D
9C
9B, 9C
9A
9C
9A
9A
9A, 9B
9A
9B, 9C
9D
9A, 9C
9D
9D
9A
9A
9D
9D
9C
9C
9D
9A
9A
9A
9A
Method
10B
10A
10B
10C
10C
10D
10B
10B
10A
10A
10A
10A
10A
10D
10B
10B
10A
10B
10C
10B
10C
10C
10A
10C
10D
10C
10B
10D
10C
10B
10A
10C
10A
10D
10B
10B
10B
10B
10B
10D
10B
10B
10B
10C
10A
10D
10B
10B
10B
10B
10B
10A
10B
10B
Results
ip
t
cr
us
Type of Approach
Number of Articles
Theoretical.
Theoretical.
Theoretical.
Theoretical.
Empirical.
Theoretical and Empirical.
Theoretical and Empirical.
an
Study Type
29
35
4
8
167
22
1
Quantitative
Qualitative
Mixed
Survey/Review
Quantitative
Quantitative
Mixed
Ac
ce
p
te
Table 9: Classification according to items 1 and 2.
35
Page 35 of 55
ip
t
cr
us
an
Object
Number of Articles
71
53
46
23
55
14
54
15
56
te
Regulation.
Market Risk.
Credit Risk/Default/Counterparty/Sovereign.
Liquidity risk.
Contagion.
Size of institutions.
Interconnectivity/Interdependence.
Concentration/Diversification/Competition.
Others.
Ac
ce
p
Table 10: Classification according to item 3.
36
Page 36 of 55
ip
t
cr
us
an
Articles One Type
Articles Multiple Types
From market.
From balance sheet.
Macroeconomic.
From regulators.
Not applicable.
46
14
31
35
50
46
34
44
-
Type of Data
Ac
ce
p
te
37
Page 37 of 55
ip
t
cr
us
an
Methods Used
134
1
40
9
22
15
5
40
te
Econometric/Statistical/Multivariate Analysis.
Computational/Simulation.
Mathematical Modelling.
Econom./Stat./ Multivariate An. & Comput./Simulation
Econom./Stat./ Multivariate An. & Mathematical Model.
Comput./Simulation & Mathematical Model.
Econom./Stat./ Multivariate An. & Comput./Simulation & Mathematical Model.
Not applicable.
Number of Articles
Ac
ce
p
38
Page 38 of 55
ip
t
cr
us
an
M
Results
75
127
40
24
New perspectives.
Consistent with previously published literature.
Replication to a different context or period.
Comparative study.
Number of Articles
Ac
ce
p
te
39
Page 39 of 55
Articles Title
1
2
3
Kindleberger and Aliber (1978).

Bryant (1980).
Stiglitz and Weiss (1981).
Bernanke (1983).
5
6
7
8
9
10
11
12
13
14
Diamond and Dybvig (1983).

Diamond (1984).
Bhattacharya and Gale (1987).
Gorton (1988).
Bernanke and Gertler (1989).
Calomiris and Gorton (1991).
Calomiris and Kahn (1991).
Shleifer and Vishny (1992).
Kaufman (1994).
Rochet and Tirole (1996).
15
Calomiris and Mason (1997).
16
17
18
19
20
21
22
23
24
25
Holmstrom and Tirole (1997).

Allen and Gale (1998).
Freixas and Parigi (1998).
Holmstrm and Tirole (1998).
Sheldon and Maurer (1998).
Diamond and Rajan (1999).
Kaminsky and Reinhart (1999).
De-Bandt and Hartmann (2000).
Allen and Gale (2000b).
Allen and Gale (2000a).
26
Freixas et al. (2000a).
27
28
29
30
Acharya (2001).
Borio et al. (2001).
Borio and Lowe (2002).
31
Borio (2003).
32
Furfine (2003).
33
Upper and Worms (2004).
34
Wells (2004).
35
36
37
38
39
40
41
42
Cifuentes et al. (2005).

Diamond and Rajan (2005).
Elsinger et al. (2005).
Lehar (2005).
Leitner (2005).
Mistrulli (2005).
43
Degryse and Nguyen (2007).
Manias, panics and crashes: a history of financial crises.

A model of reserves, bank runs and deposit insurance.
Credit rationing in markets with imperfect information.
Nonmonetary effects of the financial crisis in the propagation of the great
depression.
Bank runs, deposit insurance and liquidity.
Financial intermediation and delegated monitoring.
Preference shocks, liquidity and central bank policy.
Banking panics and business cycles.
Agency costs, net worth and business fluctuations.
The origins of banking panics: models, facts, and bank regulation.
The role of demandable debt in structuring optimal banking arrangements.
Liquidation values and debt capacity: a market equilibrium approach.
Bank contagion: a review of the theory and evidence.
Interbank lending and systemic risk.
Contagion and bank failures during the Great Depression: the June 1932
Chicago banking panic.
Financial intermediation, loanable funds, and the real sector.
Optimal financial crisis.
Contagion and efficiency in gross and net interbank payments system.
Private and public supply of liquidity.
Interbank lending and systemic risk: an empirical analysis for Switzerland.
Liquidity risk, liquidity creation, and financial fragility.
The twin crises: the causes of banking and balance of payments problems.
Systemic risk: a survey.
Bubbles and crises.
Financial contagion.
Systemic risk, interbank relations, and liquidity provision by the central
bank.
A theory of systemic risk and design of prudential regulation.
Procyclicality of the financial system and financial stability.
Asset prices, financial and monetary stability.
Systemic risk and financial consolidation, are they related?
Towards a macroprudential framework for financial supervision and regulation?
Interbank exposures: quantifying the risk of contagion.
Estimating bilateral exposures in the German interbank market: is there
a danger of contagion?
Financial interlinkages in the United Kingdoms interbank market and the
risk of contagion.
Liquidity risk and contagion.
Liquidity shortages and banking crises.
Using market information for banking system risk assessment.
Measuring systemic risk: a risk management approach.
Financial networks: contagion, commitment, and private sector bailouts.
Interbank lending patterns and financial contagion.
Risk assessment for banking systems.
Understanding financial crises.
Interbank exposures: an empirical examination of contagion risk in the
Belgian banking system.
Assessing financial contagion in the interbank market: maximum entropy
versus observed interbank leading patterns.
Network models and financial stability.
Using counterfactual simulations to assess the danger of contagion in interbank markets.
Liquidity and leverage.
Networks in finance.
Liasons dangereuses: increasing connectivity, risk sharing, and systemic
risk.
A framework for assessing the systemic risk of major financial institutions.
45
46
47
48
Ac
44
te
an
us
cr
ip
t
Reference
ce
p
N.
Mistrulli (2007).
Nier et al. (2007).

Upper (2007).
Adrian and Shin (2009).

Allen and Babus (2009).
49
Battiston et al. (2009).
50
Table 14: Articles considered in the research on systemic financial risk.
40
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Reference
Articles Title
51
52
53
54
55
56
57
58
59
60
Brunnermeier (2009).
Brunnermeier and Pedersen (2009).
Brunnermeier et al. (2009).
Haldane (2009).
Acharya et al. (2010).
Adrian and Brunnermeier (2010).
Brownlees and Engle (2010).
Gai and Kapadia (2010).
May and Arinaminpathy (2010).
Tarashev et al. (2010).
Deciphering the liquidity and credit crunch 2007-2008.

Market liquidity and funding liquidity.
The fundamental principles of financial regulation.
Rethinking the financial network.
Measuring systemic risk.
CoVaR.
Volatility, correlation and tails for systemic risk measurement.
Contagion in financial networks.
Systemic risk: the dynamics of model banking systems.
Attributing systemic risk to individual institutions.
Are banks too big to fail? Measuring systemic importance of financial
institutions.
Banks noninterest income and systemic risk.
Systemic importance: some simple indicators.
Complexity, concentration and contagion.
Systemic risk in banking ecosystems.
Systemic risk contributions.
Assessing financial contagion in the interbank market: maximum entropy
versus observed interbank lending patterns.
Simulation methods to assess the danger of contagion in interbank markets.
Capital shortfall: a new approach to ranking and regulating systemic risks.
Size and complexity in model financial systems.
Econometric measures of connectedness and systemic risk in the finance
and insurance sectors.
A survey of systemic risk analytic.
Network structure and systemic risk in banking systems.
Coreperiphery structure in the overnight money market: evidence from
the eMID trading platform.
Finding the core: network structure in interbank markets.
Changes in cross-correlations as an indicator for systemic risk.
Default cascades: When does risk diversification increase stability?.
DebtRank: too central too fail? Financial networks, the FED and systemic
risk.
Systemic risk and stability in financial networks.
Measuring the systemic importance of interconnected banks.
Systemic risk measurement: multivariate Garch estimation of CoVaR.
Cascading Failures in Bi-partite Graphs: model for systemic risk propagation.
Systemic risk measures: the simpler the better?
Default cascades in complex networks: topology and systemic risk.
The multiplex structure of interbank networks.
Assessing the contribution of banks, insurance and other financial services
to systemic risk.
On the network topology of variance decompositions: measuring the connectedness of financial firms.
Financial networks and contagion.
How likely is contagion in financial networks?
An empirical study of the Mexican banking systems network and its implications for systemic risk.
Systemic risk, contagion and financial networks: a survey.
Financial network systemic risk contributions.
Economic policy uncertainty and risk spillovers in the Eurozone.
Volatility and correlation-based systemic risk measures in the US market.
The credit quality channel: modelling contagion in the interbank market.
TENET: Tail-Event driven NETwork risk.
Credit networks and systemic risk of Chinese local financing platforms:
Too central or too big to fail?
A financial network perspective of financial institutions systemic risk contributions.
Ricci curvature: An economic indicator for market fragility and systemic
risk.
Evaluating systemic risk using bank default probabilities in financial networks.
Mistrulli (2011).
71
72
73
Bisias et al. (2012).

Cont et al. (2012).
74
Fricke and Lux (2014).
75
76
77
van Lelyveld and in t Veld (2012).

Zheng et al. (2012).
Battiston et al. (2012a).
Battiston et al. (2012b).
Acemoglu et al. (2013).
Drehmann and Tarashev (2013).
Girardi and Ergun (2013).
te
78
79
80
81
Rodrguez-Moreno and Pea (2013).

Roukny et al. (2013).
Bargigli et al. (2014).
86
ce
p
82
83
84
85
87
Diebold and Yilmaz (2014).
88
89
Elliott et al. (2014).


Chinazzi and Fagiolo (2015).
Hautsch et al. (2015).
Civitarese (2016).
Fink et al. (2016).
Hrdle et al. (2016).
Ac
90
91
92
94
93
94
95
96
Upper (2011).
Arinaminpathy et al. (2012).
68
69
70
cr
67
us
Zhou (2010).
Drehmann and Tarashev (2011).
Gai et al. (2011).
Haldane and May (2011).
an
61
62
63
64
65
66
ip
t
N.
He and Chen (2016).
97
98
Sandhu et al. (2016).
99
Souza et al. (2016).
Table 15: Articles considered in the research on systemic financial risk (Continued).
41
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ip
t
cr
Articles Title
8
9

10
Borio (2003).
11
12
13
14
15
16
17
18
19
20
21

22
23
24
25
26

27
an
Bank runs, deposit insurance and liquidity.

Financial intermediation and delegated monitoring.
The role of demandable debt in structuring optimal banking arrangements.
The origins of banking panics: models, facts, and bank regulation.
Optimal financial crisis.
Financial contagion.
Systemic risk, interbank relations, and liquidity provision by the central
bank.
Systemic risk: a survey.
Systemic risk and financial consolidation, are they related?
Towards a macroprudential framework for financial supervision and regulation?
Risk assessment for banking systems.
Interbank exposures: an empirical examination of contagion risk in the
Belgian banking system.
Understanding financial crises.
Deciphering the liquidity and credit crunch 20072008.
Market liquidity and funding liquidity.
The fundamental principles of financial regulation.
CoVaR.
Measuring systemic risk.
Volatility, correlation and tails for systemic risk measurement.
Systemic risk contributions.
Econometric measures of connectedness and systemic risk in the finance
and insurance sectors.
Systemic risk and stability in financial networks.
How likely is contagion in financial networks?
Financial networks and contagion.
Systemic risk, contagion and financial networks: a survey.
Ricci curvature: an economic indicator for market fragility and systemic
risk.

Diamond (1984).
ce
p
te
1
2
3
4
5
6
us
Reference
N.
Ac
Table 16: Reference articles in the research on systemic financial risk (Main network).
42
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43
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Ac
Diamond (1984).

Borio (2003).

5
6
10
11
12
13
14
Type
Theoretical.
Theoretical.

15
16
17
18
19
20
21
22
23
24
25
26
27
Systemic risk in a
specific market.
te
Banking panics.
Financial intermediation and diversification.
Banking panics.
Callable debt, optimal contract.
Banking panics.
Contagion.
Liquidity and contagion in the interbank
system.
Concepts and models of systemic risk.
Bank consolidation.
Micro
x
macro
regulation.
Contagion.
Contagion.
Financial crisis.
2007 crisis.
Liquidity and funding.
Regulation.
Systemic risk of a
given bank.
Systemic risk of a
given bank.
Systemic risk of a
given bank.
Systemic risk of a
given bank.
Contagion.
Contagion and counterparty risk.
Contagion.
Contagion.
Contagion.
Method
us
Mathematical.
Network models.
Network models.
Review.
Scope
USA.
USA.
USA.
USA, Europe.
Not applicable.
USA.
Not applicable.
Austria.
Belgium.
World.
USA
Not applicable.
USA
Not applicable.
Not applicable.
Not applicable.
Not applicable.
Not applicable.
USA.
Not applicable.
Not applicable.
ip
t
USA.
Europe.
Europe.
Not applicable.
Not applicable.
USA.
cr
Mathematical and network modelling.
Econometric.
Econometric.
Econometric.
Econometric.
Econometric.
Descriptiveanalytical.
Econometric.
an
Statistical and mathematical modelling.
Network models.
Simulation.
Comparative analysis.
Econometric
Review.
Mathematical modelling.
Economic modelling.
Review.
Theme/Main Object
Table 17: Comparative classification of articles.
Empirical.
Empirical.
Theoretical.
Theoretical
and empirical.
Theoretical.
Empirical.
Empirical.
Empirical.
Empirical.
Empirical.
Theoretical.
Empirical.
Theoretical.
Empirical.
Empirical.
Theoretical.
Theoretical.
Theoretical.
Empirical.
Theoretical.
Theoretical.
Theoretical.
Theoretical.
Theoretical.
Theoretical.
ce
p
Article
N.
19982013.
2010.
2011.
Not applicable.
Not applicable.
19942008.
20042010.
20002010.
20062009.
19712013.
Not applicable.
19922008.
Not applicable.
19892002.
19932002.
Secs. XIX a XXI.
20072009.
Not applicable.
19881999.
Not applicable.
Not applicable.
Not applicable.
Not applicable.
Not applicable.
Secs. XIX e XX.
Not applicable.
Not applicable.
Period
ip
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Figure 1: Number of articles per journal.
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Figure 2: Number of articles per year.
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Figure 3: Scope of the articles.
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Figure 4: Context of the articles.
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Figure 5: Focus of the articles.
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Figure 6: Period studied in the articles.
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Figure 7: Network of links (General).
50
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6
5
4
3
2
1
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84
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82
24
81
80
23
te
20
ce
p
Ac
79
25
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78
77
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31
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73
72
32
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34
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cr
69
35
us
an
26
60
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Figure 8: Network links.
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6
5
4
3
2
1
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95
94
10
93
11
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90
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an
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Figure 9: Main and secondary networks.
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102
97
96
95
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91
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90
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25
81
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te
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29
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66
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32
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31
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an
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61
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Figure 10: Research network.
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Calomiris1997
Borio2002
Kindleberger1978
Calomiris1991b
Borio2001
Allen2000
Kaminsky1999
Bernanke1989
DeNicolo2002
Gauthier2012
Stiglitz1981
Borio2003
Huang2012a
Acharya2012
cr
ip
t
Diebold2014
Hardle2016
Rodrguez-Moreno2013
Brownlees2010
Girardi2013
Drehman2011
Tarashev2010
Segoviano2009
Zhou2010
Huang2016
Civitarese2016
Arinaminpathy2012
Battiston2012a
Glasserman2014
Hautsch2015
Adrian2010
us
Huang2011
Zheng2012
Acharya2010
Bernal2014
Acharya2001
Adrian2009
Brunnermeier2009c
Billio2012
Bisias2012
an
Lehar2005
Brunnermeier2009b
Acemoglu2013
Cont2012
Elliot2014
Haldane2009c
Gai2011
Fink2016
Roukny2013
Souza2016b
Allen2009a
Battiston2009
Cifuentes2005
Leitner2005
Brunnermeier2009a
Brunnermeier2011
Bernanke1983
Allen1998
Degryse2007
Upper2011
Allen2000a
Freixas2000a
Nier2007
Allen2007
Elsinger2006
DeBandt2000
Calomiris1991a
Diamond2005
Diamond1983
Rochet1996
Furfine2003
Upper2004
Gai2010
Haldane2011
Bargigli2014
Chinazzi2015
Langfield2014
Battiston2012b
Caccioli2012
Wells2004
Lelyveld2012
Upper2007
Mistrulli2011
Fricke2012
Mistrulli2007
te
May2010
Sheldon1998
Mistrulli2005
Gorton1988
Diamond1984
Holmstrom1997
Freixas1998
Holmstrom1998
Diamond1999
Kaufman1994
Shleifer1992
Bryant1980
Bhattacharya1987
Huang2013
He2016
Martinez-Jaramillo2014
Sandhu2016
ce
p
Craig2010
Ac
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Figure 11: Main research path.
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Elliot2014
Glasserman2014
Chinazzi2015
Sandhu2016
Diamond1983
Diamond1984
Calomiris1991a
Calomiris1991b
Allen1998
Allen2000a
Acemoglu2013
Freixas2000a
Billio2012
Huang2011
Brownlees2010
ip
t
Acharya2010
Brunnermeier2009c
Brunnermeier2009b
Brunnermeier2009a
Adrian2009
Degryse2007
Allen2007
Elsinger2006
cr
Adrian2010
Borio2003
us
DeNicolo2002
an
DeBandt2000
te
ce
p
Ac
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Research Highlights
1. The study analyses and classify 266 articles regarding systemic financial risk;
2. The relevance of this paper is due to its theme impact on economic and social welfare; and
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3. The study follows a method that allows the identification of gaps for future research.
Research Highlights
Page 1 of 1.
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Accepted Manuscript

Title: AN ANALYSIS OF THE LITERATURE ON

Journal of Financial Stability

AN ANALYSIS OF THE LITERATURE ON SYSTEMIC FINANCIAL

Keywords: Systemic risk, financial stability, bibliometry, financial, measure.

document was a collaborative effort.

Preprint submitted to Journal of Financial Stability

December 20, 2016

Classify and code the characteristics and scope of the papers

Identify the strengths and weaknesses of the studies

Please insert Tab. 2 here.

Classification 2: Approach, coded from A to D

Classification 4: Comprehensiveness in geographic terms, coded from A to E

Classification 7: Period studied, coded from A to E

Classification 8: Type of data analysed, coded from A to E

Classification 10: Results, coded from A to E

Please insert Tab. 3 here.

4. A brief conceptual foundation of financial systemic risk

Please insert Tab. 7 here.

4.1. Definition of systemic financial risk

4.2. Factors present in the discussion on systemic financial risk

The results for each category analyzed are presented next.

Please insert Tab. 11 here.

Please insert Tab. 13 here.

Please insert Tab. 14 here.

Please insert Fig. 8 here.

In Figure 9, these networks are separated.

Figure 11 shows the evolutionary path of the main research network.

5.1. Analysis of the main research path

Please insert Tab. 16 here.

International Journal of Central Banking 3 (1), 951979.

platform. Kiel Working Paper No. 1759 45 (3), 359395.

Journal of Statistical Mechanics: Theory and Experiment 2012 (3), P03011P03011.

Web of Knowledge Download

Duplicity inside the

Systemic risk and financial stability.

Table 1: Sample of articles on systemic financial risk.

Journal of Financial Stability.

Table 2: Number of articles published per journal.

Types of data analysed.

Table 3: Classification and coding used to analyse the articles.

Table 4: Articles that compose the sample.

Aboura and Wagner (2016)

Table 5: Articles that compose the sample (Continued).

Burkholz et al. (2016)

Table 6: Articles that compose the sample (Continued).

Flix et al. (2016)

Table 7: Articles that compose the sample (Continued).

Kalemli-Ozcan et al. (2013).

Table 8: Articles that compose the sample (Continued).

Pourkhanali et al. (2016)

Table 9: Classification according to items 1 and 2.

Table 10: Classification according to item 3.

Articles One Type

Articles Multiple Types

Table 11: Classification according to item 8.

Table 12: Classification according to item 9.

Table 13: Classification according to item 10.

Kindleberger and Aliber (1978).

Diamond and Dybvig (1983).

Calomiris and Mason (1997).

Holmstrom and Tirole (1997).

Freixas et al. (2000a).