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Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. TI 2021-085/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
dynamic networks
spatial auto-regressions
heterogeneous spatial contagion
network heterogeneity
sovereign risk dynamics
Dokumentart: 
Working Paper
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