Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions
| Autor: | Geraci, MV, Gnabo, JY |
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| Přispěvatelé: | Geraci, Marco Valerio [0000-0003-1346-9433], Apollo - University of Cambridge Repository |
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
G18
Government Policy and Regulation [General Financial Markets] Time-Series Models [Multiple or Simultaneous Equation Models] time-varying parameter granger casuality C51 General (includes Measurement and Data) [General Financial Markets] C63 systemic risk Computational Techniques Economie Model Construction and Estimation financial interconnectedness G10 G32 Financing Policy Financial Risk and Risk Management Capital and Ownership Structure C32 |
| Zdroj: | ECARES Working Papers; 2015-51 |
| Popis: | We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor’s 500 index and estimate interconnectedness at the sectoral and institutional levels. At the sectoral level, we uncover two main events in terms of interconnectedness: the Long-Term Capital Management crisis and the 2008 financial crisis. After these crisis events, we find a gradual decrease in interconnectedness, not observable using the classical rolling-window approach. At the institutional level, our framework delivers more stable interconnectedness rankings than other comparable market-based measures. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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