systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking …

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 …

. In this paper, we use data on bank-firm credit relationships in Japan and conduct a horse race between different network …