| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23140 |
| 来源ID | Working Paper 23140 |
| Estimating Global Bank Network Connectedness | |
| Mert Demirer; Francis X. Diebold; Laura Liu; Kamil Yılmaz | |
| 发表日期 | 2017-02-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We use LASSO methods to shrink, select and estimate the high-dimensional network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a strong geographic component, whereas country sovereign bond connectedness does not. Dynamically, we find that equity connectedness increases during crises, with clear peaks during the Great Financial Crisis and each wave of the subsequent European Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w23140 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580814 |
| 推荐引用方式 GB/T 7714 | Mert Demirer,Francis X. Diebold,Laura Liu,et al. Estimating Global Bank Network Connectedness. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23140.pdf（1458KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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