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Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
SAFE Working Paper No. 407
Verlag: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
Zusammenfassung: 
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in terms of time-varying spillover effects. The framework is applied to analyse the dynamics of international relationships among the G7 economies and their impact on stock market returns and volatilities. The findings underscore the substantial impact of cooperative interactions and highlight discernible disparities in network exposure across G7 nations, along with nuanced patterns in direct and indirect spillover effects.
Schlagwörter: 
Bayesian inference
International relationships
Multilayer networks
Spatial autoregressive model
Time-varying networks
Stochastic volatility
JEL: 
C11
C33
C51
C58
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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