00000nam 2200000zi 4500 9.893007 CaOODSP 20221107173327 m o d f cr cn||||||||| 201029t20202020oncd ob f000 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-5/2020-42E-PDF Hipp, Ruben, author. On casual networks of financial firms : structural identification via non-parametric heteroskedasticity / by Ruben Hipp. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (ii, 40 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-42 Cover title. "Last updated: October 15, 2020." Includes bibliographical references (pages 31-33). "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. Financial institutions. Econometrics. Analysis of variance. Institutions financières. Économétrie. Analyse de variance. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2020-42. (CaOODSP)9.806221 PDF 1.99 MB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf