Estimating global bank network connectedness

Arbeitspapier

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank location, not bank assets. Dynamically, we find that global banking connectedness displays both secular and cyclical variation. The secular variation corresponds to gradual increases/decreases during episodes of gradual increases/decreases in global market integration. The cyclical variation corresponds to sharp increases during crises, involving mostly cross-country, as opposed to within-country, bank linkages.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 1512

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: systemic risk ; connectedness ; systemically important financial institutions ; vector autoregression ; variance decomposition ; lasso ; elastic net ; adaptive lasso ; adaptive elastic net

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Demirer, Mert ; Diebold, Francis X. ; Liu, Laura ; Yılmaz, Kamil
• Ereignis: Veröffentlichung
• (wer): Koç University-TÜSİAD Economic Research Forum (ERF)
• (wo): Istanbul
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/129366
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ