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008201029t20202020oncd    ob   f000 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
043 |an-cn---
0861 |aFB3-5/2020-42E-PDF
1001 |aHipp, Ruben, |eauthor.
24510|aOn casual networks of financial firms : |bstructural identification via non-parametric heteroskedasticity / |cby Ruben Hipp.
264 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020.
264 4|c©2020
300 |a1 online resource (ii, 40 pages) : |bgraphs.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-42
500 |aCover title.
500 |a"Last updated: October 15, 2020."
504 |aIncludes bibliographical references (pages 31-33).
5203 |a"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.
650 0|aFinancial institutions.
650 0|aEconometrics.
650 0|aAnalysis of variance.
650 6|aInstitutions financières.
650 6|aÉconométrie.
650 6|aAnalyse de variance.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2020-42.|w(CaOODSP)9.806221
85640|qPDF|s1.99 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf