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来源类型Working Paper
规范类型报告
DOI10.3386/w26814
来源IDWorking 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
URLhttps://www.nber.org/papers/w26814
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/584488
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GB/T 7714
Bomin Jiang,Roberto Rigobon,Munther A. Dahleh. Contingent Linear Financial Networks. 2020.
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