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SUMMARY:A Systemic Indicator for the Size of Shadow Banking - Marsili\, M 
 (Abdus Salam International Centre for Theoretical Physics)
DTSTART:20141215T133000Z
DTEND:20141215T141500Z
UID:TALK56631@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-authors: Davide Fiaschi (University of Pisa - Department of
  Economics)\, Imre Kondor (Parmenides Foundation)\, Valerio Volpati (Scuol
 a Internazionale Superiore di Studi Avanzati (SISSA)) \n\nUsing public dat
 a (Forbes Global 2000) we show that the asset sizes for the largest global
  firms follow a Pareto distribution in an intermediate range\, that is "in
 terrupted" by a sharp cut-off in its upper tail\, where it is totally domi
 nated by financial firms. Pareto distributions are generally traced back t
 o a mechanism of proportional random growth\, based on a regime of constan
 t returns to scale. This makes our findings of an "interrupted" Pareto dis
 tribution all the more puzzling\, because we provide evidence that financi
 al firms in our sample should operate in such a regime. We claim that the 
 missing mass from the upper tail of the asset size distribution is a conse
 quence of shadow banking activity and that it provides an (upper) estimate
  of the size of the shadow banking system. This estimate -- which we propo
 se as a shadow banking index -- compares well with estimates of the Financ
 ial Stability Board until 2009\, but it shows a sharper rise in shadow ban
 king activity after 2010. Finally\, we propose a proportional random growt
 h model that reproduces the observed distribution\, thereby providing a qu
 antitative estimate of the intensity of shadow banking activity.\n
LOCATION:Seminar Room 1\, Newton Institute
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