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Marco Valerio Geraci, ECARES Print
Friday, 28 April 2017, 12:15 - 13:15

Séminaire public réalisé dans le cadre d'une convention de cotutelle avec l'Université de Namur 

Marco Valerio Geraci, ECARES

Measuring Interconnectedness between Financial Institutions with Bayesian Time-varying Vector Autoregressions

Abstract: We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor's 500 index and estimate interconnectedness at the sector and institution level. At the sector level, we uncover two main events in terms of interconnectedness: the Long Term Capital Management crisis and the 2008 financial crisis. After these crisis events, we find a gradual decrease in interconnectedness, not observable using the classical rolling window approach. At the institution level, our framework delivers more stable interconnectedness rankings over time than other market-based measures of systemic risk.

Location: R42.2.113
Contact: Nancy De Munck - This e-mail address is being protected from spam bots, you need JavaScript enabled to view it