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TUPD-2024-010

表 題 AI and Financial Systemic Risk in the Global Market
著 者 Jingyi Tian

東北大学経済学研究科

永易 淳

東北大学経済学研究科 教授

P D F
要 旨

As artificial intelligence (AI) emerges as a key driver of Industry 4.0, nations are vying for a competitive edge in AI advancements, innovation, and applications. This study investigates AI’s role in the financial system by delving into the intricate relationship between AI and financial systemic risk (FSR) across diverse contexts. The results show that, first, AI investment is generally associated with increased FSR. Second, global risk spillover is observed in the FSR of various countries. Extreme events can lead to a sharp and simultaneous increase in FSR across nations. In addition, after removing global risk spillover, the FSR dynamics of countries do not strictly conform to geographical proximity. Third, mechanism analysis reveals that AI increases FSR by enhancing the interconnectedness between entities and raising unemployment.

キーワード 人口知能 Artificial intelligence; 金融システミックリスク Financial systemic risk; ベイジアン動的因子モデル Bayesian dynamic factor model; グローバルリスクの波及 Global risk spillover; 国際比較分析 Cross-nation analysis
発行年月 2024年 10月

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