Related papers: Estimating Dynamic Spillover Effects along Multipl…
We use bank-level balance sheet data from 2005 to 2010 to study interactions within the banking system of five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. For each country we construct a financial network based…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
No matter its source, financial- or policy-related, uncertainty can feed onto itself, inflicting the real economic sector, altering expectations and behaviours, and leading to identification challenges in empirical applications. The strong…
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…
When using dyadic data (i.e., data indexed by pairs of units), researchers typically assume a linear model, estimate it using Ordinary Least Squares and conduct inference using ``dyadic-robust" variance estimators. The latter assumes that…
The issue of missing network links in partially observed networks is frequently neglected in empirical studies. This paper addresses this issue when investigating the spillovers of program benefits in the presence of network interactions.…
We study the drivers and spatial diffusion of U.S. state population growth using a dynamic spatial model for 49 states, 1965-2017. Methodologically, we recover the spatial network structure from the data, rather than imposing it a priori…
Understanding the high-tech industrial agglomeration from a spatial-spillover perspective is essential for cities to gain economic and technological competitive advantages. Along with rapid urbanization and the development of fast…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
Networks play a central role in modern data analysis, enabling us to reason about systems by studying the relationships between their parts. Most often in network analysis, the edges are given. However, in many systems it is difficult or…
When experimental subjects can interact with each other, the outcome of one individual may be affected by the treatment status of others. In many social science experiments, such spillover effects may occur through multiple networks, for…
We present a macro-finance model with innovation and knowledge spillover. Skilled agents engage in R&D activities (establish firms) or work in the knowledge-intensive sector. Unskilled agents work in the traditional sector. Knowledge…
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…
Empirical work often uses treatment assigned following geographic boundaries. When the effects of treatment cross over borders, classical difference-in-differences estimation produces biased estimates for the average treatment effect. In…
Randomization tests have gained popularity for causal inference under network interference because they are finite-sample valid with minimal assumptions. However, existing procedures are limited as they primarily focus on the existence of…
A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Economists often rely on estimates of linear fixed effects models produced by other teams of researchers. Assessing the uncertainty in these estimates can be challenging. I propose a form of sample splitting for networks that partitions the…