Arbeitspapier

Estimation and model-based combination of causality networks

Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions and, in turn, to obtain a network structure. Subsequent studies combined the estimated networks with traditional pricing or risk measurement models to improve their fit to empirical data. In this paper, we provide two contributions: we show how to use a linear factor model as a device for estimating a combination of several networks that monitor the links across variables from different viewpoints; and we demonstrate that Granger causality should be combined with quantile-based causality when the focus is on risk propagation. The empirical evidence supports the latter claim.

Language: Englisch

Bibliographic citation: Series: SAFE Working Paper ; No. 165

Classification: Wirtschaft
Financial Econometrics
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Crises

Subject: granger causality
quantile causality
multi-layer network
network combination

Event: Geistige Schöpfung

(who): Bonaccolto, Giovanni
Caporin, Massimiliano
Panzica, Roberto Calogero

Event: Veröffentlichung

(who): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe

(where): Frankfurt a. M.

(when): 2017

DOI: doi:10.2139/ssrn.2909585

Handle: http://hdl.handle.net/10419/150015

URN: urn:nbn:de:hebis:30:3-428353

Last update: 10.03.2025, 11:42 AM CET

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Arbeitspapier

Associated

Bonaccolto, Giovanni
Caporin, Massimiliano
Panzica, Roberto Calogero
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe

Time of origin

2017

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Estimation and model-based combination of causality networks

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Other Objects (12)

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