On casual networks of financial firms : structural identification via non-parametric heteroskedasticity / by Ruben Hipp.: FB3-5/2020-42E-PDF
"We investigate the causal structure of financial systems by accounting for contemporaneous relationships. To identify structural parameters, we introduce a novel non-parametric approach that exploits the fact that most financial data empirically exhibit heteroskedasticity. The identification works locally and, thus, allows structural matrices to vary smoothly with time. With this causality in hand, we derive a new measure for systemic relevance. An application on volatility spillovers in the US financial market demonstrates the importance of structural parameters in spillover analyses. Finally, we highlight that the COVID-19 period is mostly an aggregate crisis, with financial firms’ spillovers edging slightly higher"--Abstract, page ii.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.893007&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | On casual networks of financial firms : structural identification via non-parametric heteroskedasticity / by Ruben Hipp. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-42 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | Cover title. "Last updated: October 15, 2020." Includes bibliographical references (pages 31-33). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Author / Contributor | Hipp, Ruben, author. |
| Description | 1 online resource (ii, 40 pages) : graphs. |
| Catalogue number |
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| Subject terms | Financial institutions. Econometrics. Analysis of variance. Institutions financières. Économétrie. Analyse de variance. |
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