| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26814 |
| 来源ID | Working Paper 26814 |
| Contingent Linear Financial Networks | |
| Bomin Jiang; Roberto Rigobon; Munther A. Dahleh | |
| 发表日期 | 2020-03-09 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | In this paper, we develop a methodology to estimate hidden linear networks when only an aggregate outcome is observed. The aggregate observable variable is a linear mixture of the different networks and it is assumed that each network corresponds to the transmission mechanism of different shocks. We implement the methodology to estimate financial networks among US financial institutions. Credit Default Swap rates are the observable variable and we show that more than one network is needed to understand the dynamic behavior exhibited in the data. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w26814 |
| 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/584488 |
| 推荐引用方式 GB/T 7714 | Bomin Jiang,Roberto Rigobon,Munther A. Dahleh. Contingent Linear Financial Networks. 2020. |
| 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 | ||
| w26814.pdf（1619KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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