Article detail · 2017
Estimating Global Bank Network Connectedness
Journal
National Bureau of Economic Research- Year
- 2017
- DOI
- 10.3386/w23140
- Type
- report
Data source split
- YÖKSİS venue National Bureau of Economic Research
- OpenAlex OpenAlex enrichment (abstract, citations, topics)
Abstract
OpenAlex · English
We use LASSO methods to shrink, select and estimate the high-dimensional network linking the publicly-traded subset of the world's top 150 banks, 2003-2014.We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rollingwindow estimation.Statically, we find that global bank equity connectedness has a strong geographic component, whereas country sovereign bond connectedness does not.Dynamically, we find that equity connectedness increases during crises, with clear peaks during the Great Financial Crisis and each wave of the subsequent European Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages.
Topics
Citations
OpenAlex cited_by_count. Not a WoS or Scopus citation count; those sources have no separate column here.
57 citations
OpenAlex cited_by_count (cache / database)
5 publications in the local catalog that cite this work (OpenAlex reference match; not the full global list).