Skuteczność wybranych mierników ryzyka systemowego
The effectiveness of selected measures of systemic risk

Summary/Abstract: The effectiveness of macroprudential supervision depends on an accurate and timely identification of systemic risk, but not all indicators make it possible. The aim of the study presented in the article is to identify the correlations between the closing prices of bank shares that may signal a build-up of systemic risk. The analysis was carried out on the basis of data on the closing share prices of companies from the banking sector in Poland that belonged to the WIG-banks index of the Warsaw Stock Exchange, for two time slots (from 31st December 2012 to 31st December 2023 and from 31st December 2004 to 31st December 2023) determined by the date on which the companies' shares began trading. The study was performed by means of correlation analysis and the degree of Granger causality. The results indicate that there are positive and negative linear relationships between the closing prices of the listed shares of pairs of the analysed companies. Among all the lags taken into account in the study, the strongest autocorrelations between the closing share prices occurred for all the studied companies with a one-month lag. The study also demonstrated that both in the case of monthly and annual data, there are Granger causal relationships between the changes in the closing prices of the shares and the changes in the closing prices delayed, in the case of monthly data, by one, three and twelve months, and, in the case of annual data, by one and three years. On the basis of the study, it can be concluded that the adopted measures effectively identify systemic risk.

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