Related papers: Estimating Dynamic Spillover Effects along Multipl…
We study spillover effects in corporate toxic emissions using a heterogeneous panel network of U.S. industrial facilities from 2000-2023. Rather than imposing a network structure a priori, we uncover an unobserved web of influence directly…
This paper introduces a framework to analyze time-varying spillover effects in panel data. We consider panel models where a unit's outcome depends not only on its own characteristics (private effects) but also on the characteristics of…
Multiplex networks (a system of multiple networks that have different types of links but share a common set of nodes) arise naturally in a wide spectrum of fields. Theoretical studies show that in such multiplex networks, correlated edge…
Empirical researchers often estimate spillover effects by fitting linear or non-linear regression models to sampled network data. We show that common sampling schemes bias these estimates, potentially upwards, and derive biased-corrected…
This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…
Knowledge spillovers occur when a firm researches a new technology and that technology is adapted or adopted by another firm, resulting in a social value of the technology that is larger than the initially predicted private value. As a…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
We develop a novel methodology for the proxy variable identification of firm productivity in the presence of productivity-modifying learning and spillovers which facilitates a unified "internally consistent" analysis of the spillover…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
Assessing the resilience of the economy requires accounting for its intrinsic multi-layer nature, by assessing for instance how disruptions at the firm level spread through the production network and propagate to the banking sector. Methods…
We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks. The proposed model offers the benefits of incorporating…
The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
We study a continuous treatment effect model in the presence of treatment spillovers through social networks. We assume that one's outcome is affected not only by his/her own treatment but also by a (weighted) average of his/her neighbors'…
This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…
Financial spillovers in interconnected systems, such as global banking networks, require tools that capture temporal and frequency dynamics, while incorporating the underlying network topology. While current network time series models are…
This paper develops a continuous functional framework for treatment effects propagating through geographic space and economic networks. We derive a master equation from three independent economic foundations -- heterogeneous agent…
In recent years, there has been growing interest in studying games on multiplex networks that account for interactions across linked social contexts. However, little is known about how potential cross-context interference, or spillover, of…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
I study identification, estimation and inference for spillover effects in experiments where units' outcomes may depend on the treatment assignments of other units within a group. I show that the commonly-used reduced-form linear-in-means…