We investigate the systemic importance of U.S. non-financial corporations and analyse the firm-specific characteristics that identify systemically important non-financial firms. We compute two firm-specific measures of systemic risk for 1145 non-financial corporations and confirm that these firms are both vulnerable to systemic shocks and contribute to system-wide risk, though firms that are high in one dimension of risk are not necessarily high in the other. Systemic risk measures exhibit substantial variation across firms and over time. The firm's beta, value-at-risk, size, debt and trade credit are related to both dimensions of systemic risk, while a range of other firm characteristics are associated with systemic risk in at least one direction. The differences between the dimensions of risk and their associated characteristics underline the importance of analysing both measures of risk.

We analyze the transmission of shocks between global banking, domestic banking and the non-financial sector for eleven Eurozone countries. Using a Markov-switching Factor augmented VAR model, we distinguish between contagion, interdependence and decoupling as shock transmission mechanisms during the ‘crisis’ regime. Contagion played a role in propagating global banking shocks to the banking sectors of smaller states, exacerbating the crisis in these countries. In contrast, the non-financial sectors suffered little contagion from either external or domestic banking shocks, and generally managed to decouple from the banking industry – indicative of being able to source alternative financing and shield themselves from the crisis. However, shocks originating in the non-financial sector trigger contagious effects for both the domestic banking sector and, to a lesser extent global banking, thereby acting as a source of fragility for the financial sector during crisis periods.