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Measuring Dynamic Spillovers in Networks: Sovereign Contagion, Regulation Effects and Market Sectors

Buse, Rebekka

Abstract (englisch):
In the recent subprime mortgage crisis and sovereign debt crisis, effective threats to and the loss of confidence in the stability of the financial system have increased, which is also denoted as a rise of systemic risk. Systemically important institutions were first categorized only as ``too big to fail''. This was insufficient during the crisis and required an extension by ``too interconnected to fail', reflecting the importance of interconnectedness for safeguarding financial and economic stability. However, respective data on interdependencies are not publicly available or incomplete. Thus, there is a need for econometric techniques that can handle incomplete and complex, large datasets to detect interconnections and to quantify spillovers between entities.

While there have been various econometric approaches to measure spillovers, in this thesis quantitative measures are developed and evaluated that shed light on important and so far disregarded aspects. Technically, a connectedness measure is introduced that is based on out-of-sample forecast errors, which responds more quickly to crisis occurrences than already existing measures based on in-sample forecast errors. ... mehr

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Volltext §
DOI: 10.5445/IR/1000091930
Veröffentlicht am 11.03.2019
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Volkswirtschaftslehre (ECON)
Publikationstyp Hochschulschrift
Publikationsjahr 2019
Sprache Englisch
Identifikator urn:nbn:de:swb:90-919306
KITopen-ID: 1000091930
Verlag KIT, Karlsruhe
Umfang VI, 109 S.
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Volkswirtschaftslehre (ECON)
Prüfungsdatum 20.02.2019
Referent/Betreuer Prof. M. Schienle
Schlagwörter spillovers, networks, contagion, European sovereigns, CDS, bonds, U.S. market sectors
KIT – Die Forschungsuniversität in der Helmholtz-Gemeinschaft
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