Alessandro Celani , Paola Cerchiello , Paolo Pagnottoni
{"title":"面板方差分解网络的拓扑结构","authors":"Alessandro Celani , Paola Cerchiello , Paolo Pagnottoni","doi":"10.1016/j.jfs.2024.101222","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper we provide a framework to study the network topology of generalized forecast error variance decomposition (GFEVD) derived from multi-country, multi-variable time series models. Our dynamic variance decomposition network is based on a Bayesian Global Vector Autoregressive (GVAR) model, a suitable macroeconometric method to consider simultaneous multi-level interdependencies across variables. We demonstrate the usefulness of our methodology to analyze the network structure of shock propagation in longitudinal time series and, in particular: (a) the shortest paths of contagion; (b) the clusters of shock transmission; (c) the role of nodes in the risk transmission channels. We illustrate our method through an empirical application to a set of 12 European countries’ Industrial Production, Retail Trade and Economic Sentiment indices over the period 01/2000–11/2021.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":"71 ","pages":"Article 101222"},"PeriodicalIF":6.1000,"publicationDate":"2024-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S157230892400007X/pdfft?md5=81d7b248f848b8aabe0b9d1672bfb800&pid=1-s2.0-S157230892400007X-main.pdf","citationCount":"0","resultStr":"{\"title\":\"The topological structure of panel variance decomposition networks\",\"authors\":\"Alessandro Celani , Paola Cerchiello , Paolo Pagnottoni\",\"doi\":\"10.1016/j.jfs.2024.101222\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>In this paper we provide a framework to study the network topology of generalized forecast error variance decomposition (GFEVD) derived from multi-country, multi-variable time series models. Our dynamic variance decomposition network is based on a Bayesian Global Vector Autoregressive (GVAR) model, a suitable macroeconometric method to consider simultaneous multi-level interdependencies across variables. We demonstrate the usefulness of our methodology to analyze the network structure of shock propagation in longitudinal time series and, in particular: (a) the shortest paths of contagion; (b) the clusters of shock transmission; (c) the role of nodes in the risk transmission channels. We illustrate our method through an empirical application to a set of 12 European countries’ Industrial Production, Retail Trade and Economic Sentiment indices over the period 01/2000–11/2021.</p></div>\",\"PeriodicalId\":48027,\"journal\":{\"name\":\"Journal of Financial Stability\",\"volume\":\"71 \",\"pages\":\"Article 101222\"},\"PeriodicalIF\":6.1000,\"publicationDate\":\"2024-02-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S157230892400007X/pdfft?md5=81d7b248f848b8aabe0b9d1672bfb800&pid=1-s2.0-S157230892400007X-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Stability\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S157230892400007X\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Stability","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S157230892400007X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The topological structure of panel variance decomposition networks
In this paper we provide a framework to study the network topology of generalized forecast error variance decomposition (GFEVD) derived from multi-country, multi-variable time series models. Our dynamic variance decomposition network is based on a Bayesian Global Vector Autoregressive (GVAR) model, a suitable macroeconometric method to consider simultaneous multi-level interdependencies across variables. We demonstrate the usefulness of our methodology to analyze the network structure of shock propagation in longitudinal time series and, in particular: (a) the shortest paths of contagion; (b) the clusters of shock transmission; (c) the role of nodes in the risk transmission channels. We illustrate our method through an empirical application to a set of 12 European countries’ Industrial Production, Retail Trade and Economic Sentiment indices over the period 01/2000–11/2021.
期刊介绍:
The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.