Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS
| Autor: | Geraci, Marco Valerio, Gnabo, Jean-Yves |
|---|---|
| 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 C51 granger causality General (includes Measurement and Data) [General Financial Markets] C63 Computational Techniques Model Construction and Estimation financial interconnectedness G10 C32 Economie générale |
| Zdroj: | ECARES Working Papers; ECARES 2015-51 |
| Popis: | In this paper we propose a time-varying parameter framework to estimate the dynamic network of financial spillovers. In a series of simulation exercises, we show that our framework performs better than the classical approach based on Granger causality testing over rolling windows. We apply it to all financial stocks listed in the S&P 500 and uncover a gradual decrease in interconnectedness after the crisis, which is not observable using the rolling window approach. We show that this is because the rolling window results are highly sensitive to crisis observations. info:eu-repo/semantics/published |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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