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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012317318
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2018
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011978741
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A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector
Meglioli, Francesco; Gauci, Stephanie - 2021
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012603304
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The role of systemic risk spillovers in the transmission of Euro area monetary policy
Skouralis, Alexandros - 2021
This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the response to be attributed to cross-country spillovers. The...
Persistent link: https://www.econbiz.de/10012704731
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Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard During the European Crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10013022926
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10012457516
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Systemic Risk and Stability in Financial Networks
Acemoglu, Daron - 2013
We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial contagion exhibits a form of phase transition as interbank connections increase: as long as the...
Persistent link: https://www.econbiz.de/10012459934
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Systemic Risk and Stability in Financial Networks
Acemoglu, Daron - 2013
We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial contagion exhibits a form of phase transition as interbank connections increase: as long as the...
Persistent link: https://www.econbiz.de/10013087886
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The role of contagion in the transmission of financial stress
Herculano, Miguel C. - 2018
component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial … and bank specific shocks that have similar consequences to contagion. I use a Bayesian spatial autoregressive model that … allows for time-dependent network interactions, and find that bank default likelihoods depend, to a large extent, on peer …
Persistent link: https://www.econbiz.de/10011978772
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Networks, Shocks, and Systemic Risk
Acemoglu, Daron - 2015
This chapter develops a unified framework for the study of how network interactions can function as a mechanism for propagation and amplification of microeconomic shocks. The framework nests various classes of games over networks, models of macroeconomic risk originating from microeconomic...
Persistent link: https://www.econbiz.de/10013028546