Related papers: Systemic trade-risk of critical resources
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two…
This study investigates the inherently random structures of dry bulk shipping networks, often likened to a taxi service, and identifies the underlying trade dynamics that contribute to this randomness within individual cargo sub-networks.…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
Maritime transportation systems (MTS) play a crucial role in ensuring the uninterrupted supply of essential goods and services, impacting the economy, border security and general welfare. However, MTS operations face disruptions from…
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty across business cycles, we…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
Modern production systems are increasingly defined by dense networks of multi-tier sourcing dependencies, where localized upstream disruptions can cascade into system-wide collapses. While supply chain resilience has garnered significant…
Transportation infrastructures, particularly those supporting intermodal freight, are vulnerable to natural disasters and man-made disasters that could lead to severe service disruptions. These disruptions can drastically degrade the…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Most products are produced and sold by supply chain networks, where an interconnected network of producers and intermediaries set prices to maximize their profits. I show that there exists a unique equilibrium in a price-setting game on a…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical…
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…
Risk assessment is a major challenge for supply chain managers, as it potentially affects business factors such as service costs, supplier competition and customer expectations. The increasing interconnectivity between organisations has put…
When the traded energy and reserve products between zones are co-allocated to optimize the infrastructure usage, both deterministic and stochastic flows have to be accounted for on interconnector lines. We focus on allocation models, which…
This paper elaborates about the potential risk of systemic instabilities in future networks and proposes a methodology to mitigate it. The starting concept is modeling the network as a complex environment (e.g. ecosystem) of resources and…
Distribution crises are manifested by a great discrepancy between the demand and the supply of a critically important good, for a period of time. In this paper, we suggest a hybrid market mechanism for minimising the negative consequences…
International trade is based on a set of complex relationships between different countries that can be modelled as an extremely dense network of interconnected agents. On the one hand, this network might favour the economic growth of…