Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/248769 
Year of Publication: 
2021
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2021-085/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
Standard spatial time-series models for financial networks can fail substantially in uncovering empirical network and risk dynamics. We propose a novel empirical spatial modeling framework that solves this problem by accommodating both heterogeneity and time-variation in economic connections and spillovers. While highly flexible, the model is still straightforward to estimate. We apply the model to several datasets for Eurozone sovereign credit risk during the sovereign debt crisis. Accounting for heterogeneity and time-variation turns out to be empirically important and the new model uncovers intuitive patterns that would go unnoticed otherwise in currently available homogeneous and/or static spatial financial network models.
Subjects: 
dynamic networks
spatial auto-regressions
heterogeneous spatial contagion
network heterogeneity
sovereign risk dynamics
Document Type: 
Working Paper

Files in This Item:
File
Size
9.34 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.