This article analyzes the transmission of financial systemic stress from the euro area to the Czech Republic. We employ a recently developed composite indicator of systemic stress (CISS), which has a unique construction reflecting the correlations between markets and so captures the systemic...

This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...

This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...

This paper develops a financial network, designated the “Macro-Network”, that depicts the connections between the main financial and non-financial sectors of the economy in the various financial instruments of the euro area. The Macro-Network comprises of linkages across financial and...

We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and...

Este documento expone cómo se conforma y articula el mercado OTC de valores en el caso colombiano. Así mismo, en el marco del mercado de deuda pública local, con base en el análisis de redes complejas, este documento describe, caracteriza y compara al mercado OTC con los organizados (SEN y...

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correlation matrices by extracting the dominant...

We studied the topology of correlation networks among 34 major currencies using the concept of a minimal spanning tree and hierarchical tree for the full years of 2007–2008 when major economic turbulence occurred. We used the USD (US Dollar) and the TL (Turkish Lira) as numeraires in which the...