Estimation and Model-Based Combination of Causality Networks
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Datum
2017-01-31
Autor
Bonaccolto, Giovanni
Caporin, Massimiliano
Panzica, Roberto Calogero
SAFE No.
165
Metadata
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Zusammenfassung
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.
Forschungsbereich
Financial Institutions
Schlagworte
granger causality, quantile causality, multi-layer network, network combination
JEL-Klassifizierung
C58, C31, C32, G01
Forschungsdaten
Thema
Corporate Finance
Saving and Borrowing
Systematic Risk
Saving and Borrowing
Systematic Risk
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]