...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The North American journal of economics and finance >Network VAR models to measure financial contagion
【24h】

Network VAR models to measure financial contagion

机译：网络var模型来衡量金融传染性

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) aris from financial markets, from bank lending, or from both. To achieve this aim we consider a model specification strategy which combines Vector Autoregressive models with network models. The paper contributes to the contagion literature with a model that can consider bank exposures and financial market prices, jointly and not only separately. From an empirical viewpoint, our results show that both bilateral exposures and market prices act as contagion channels in the transmission of shocks arising from a country to other countries.
机译：各国之间的金融蔓延可能来自不同渠道，最重要的是金融市场和银行贷款。 本文旨在建立一个经济学网络方法，了解来自银行贷款或两者的金融市场的传染溢出（从一个国家到另一个国家）aris的程度。 为了实现这一目标，我们考虑使用网络模型结合矢量自动增加模型的模型规范策略。 本文有助于具有模型的传染文学，可以共同考虑银行暴露和金融市场价格而不仅仅是单独的。 从经验的观点来看，我们的研究结果表明，双边暴露和市场价格都作为传播来自其他国家/地区的冲击的传染渠道。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号