Related papers: Estimating Dynamic Spillover Effects along Multipl…
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of…
We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific…
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism…
This study investigates the causal interpretation of linear social interaction models in the presence of endogeneity in network formation under a heterogeneous treatment effects framework. We consider an experimental setting in which…
To successfully implement the Sustainable Development Goals (SDGs), it is necessary to understand the process by which the achievement of one goal has a spillover effect in a development system. While existing research studies synergies and…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
A growing number of applications involve settings where, in order to infer heterogeneous effects, a researcher compares various units. Examples of research designs include children moving between different neighborhoods, workers moving…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
Dynamic networks consist of interconnected dynamical systems. The subsystems can be viewed as transformations of input signals into output signals, where signals flow from one system into another through interconnections. The signal flows…
A new statistical procedure, based on a modified spline basis, is proposed to identify the linear components in the panel data model with fixed effects. Under some mild assumptions, the proposed procedure is shown to consistently estimate…
Statistical inference for large data panels is omnipresent in modern economic applications. An important benefit of panel analysis is the possibility to reduce noise and thus to guarantee stable inference by intersectional pooling. However,…
Dynamic networks are used in a variety of fields to represent the structure and evolution of the relationships between entities. We present a model which embeds longitudinal network data as trajectories in a latent Euclidean space. A Markov…
We develop a Schumpeterian quality-ladder spatial model in which innovation arrivals depend on regional knowledge spillovers. A parsimonious reduced-form diffusion mechanism induces the convergence of regions' average distance to the global…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Determining policy priorities is a challenging task for any government because there may be, for example, a multiplicity of objectives to be simultaneously attained, a multidimensional policy space to be explored, inefficiencies in the…
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…
This paper considers the identification of dynamic treatment effects with panel data, in complex designs where the treatment may not be binary and may not be absorbing. We first show that under no-anticipation and parallel-trends…
Temporal networks have been increasingly used to model a diversity of systems that evolve in time; for example human contact structures over which dynamic processes such as epidemics take place. A fundamental aspect of real-life networks is…
This paper extends endogenous economic growth models to incorporate knowledge externality. We explores whether spatial knowledge spillovers among regions exist, whether spatial knowledge spillovers promote regional innovative activities,…
Empirical growth analysis has three major problems --- variable selection, parameter heterogeneity and cross-sectional dependence --- which are addressed independently from each other in most studies. The purpose of this study is to propose…