Arbeitspapier
Temporal networks in the analysis of financial contagion
This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the dynamics of financial contagion as it is transmitted across segments of the financial system and jurisdictions. Temporal centralities identify countries in distress as the nodes through which contagion propagates. Moreover, the banking system emerges as the primary source and transmitter of stress while banks and shadow banks are highly interconnected. The insurance sector is found to contribute less to stress transmission in all periods, except during the global financial crisis. Our approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes that are critical for the transmission of financial contagion.
- ISBN
-
978-92-899-5116-6
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2667
- Klassifikation
-
Wirtschaft
Mathematical Methods
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Crises
- Thema
-
Financial networks
Granger causality-in-tail
GARCH
non-Markovian
systemicrisk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Franch, Fabio
Nocciola, Luca
Vouldis, Angelos
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2022
- DOI
-
doi:10.2866/760555
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Franch, Fabio
- Nocciola, Luca
- Vouldis, Angelos
- European Central Bank (ECB)
Entstanden
- 2022
Ähnliche Objekte (12)
Contagion in Financial Networks: A Threat Index
Systemic risk, contagion, and financial networks: A survey
A flow network analysis of direct balance-sheet contagion in financial networks
A flow network analysis of direct balance-sheet contagion in financial networks
The social contagion of temporal discounting in small social networks
Financial Contagion between Economies - an Exploratory Spatial Analysis
Contagion in Stable Networks
Contagion in dealer networks
Contagion in Stable Networks
Neural Networks and Contagion
Mandatory disclosure and financial contagion
Credit contagion between financial systems
Contagion in Financial Networks: A Threat Index
Systemic risk, contagion, and financial networks: A survey
A flow network analysis of direct balance-sheet contagion in financial networks
A flow network analysis of direct balance-sheet contagion in financial networks
The social contagion of temporal discounting in small social networks
Financial Contagion between Economies - an Exploratory Spatial Analysis
Contagion in Stable Networks
Contagion in dealer networks
Contagion in Stable Networks
Neural Networks and Contagion
Mandatory disclosure and financial contagion
Credit contagion between financial systems
Contagion in Financial Networks: A Threat Index
Systemic risk, contagion, and financial networks: A survey
A flow network analysis of direct balance-sheet contagion in financial networks
A flow network analysis of direct balance-sheet contagion in financial networks
The social contagion of temporal discounting in small social networks
Financial Contagion between Economies - an Exploratory Spatial Analysis
Contagion in Stable Networks
Contagion in dealer networks
Contagion in Stable Networks
Neural Networks and Contagion
Mandatory disclosure and financial contagion