Related papers: Estimating Dynamic Spillover Effects along Multipl…

Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…

Firm clusters are seen as having a positive effect on innovations, what can be interpreted as economies of scale or knowledge spillovers. The processes underlying the success of these clusters remain difficult to isolate. We propose in this…

We develop a model that captures peer effect heterogeneity by modeling the endogenous spillover to be linear in ordered peer outcomes. Unlike the canonical linear-in-means model, our approach accounts for the distribution of peer outcomes…

In estimating spillover effects under network interference, practitioners often use linear regression with either the number or fraction of treated neighbors as regressors. An often overlooked fact is that the latter is undefined for units…

We present a model, in which some nodes (called interconnecting nodes) in two networks merge and play the roles in both the networks. The model analytic and simulation discussions show a monotonically increasing dependence of…

The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating…

Networks effectively capture interactions among components of complex systems, and have thus become a mainstay in many scientific disciplines. Growing evidence, especially from biology, suggest that networks undergo changes over time, and…

Understanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the…

We present current methods for estimating treatment effects and spillover effects under "interference", a term which covers a broad class of situations in which a unit's outcome depends not only on treatments received by that unit, but also…

In this paper, we tackle a challenging problem inherent in a series of applications: tracking the influential nodes in dynamic networks. Specifically, we model a dynamic network as a stream of edge weight updates. This general model…

Many economic activities are embedded in networks: sets of agents and the (often) rivalrous relationships connecting them to one another. Input sourcing by firms, interbank lending, scientific research, and job search are four examples,…

This paper develops a difference-in-differences framework for staggered policy adoption when units can be affected by other units' adoption. For each treated cohort and event time, the framework separates the effect of own adoption, the…

Existing literature at the nexus of firm productivity and export behavior mostly focuses on "learning by exporting," whereby firms can improve their performance by engaging in exports. Whereas, the secondary channel of learning via…

The tandem fluid queueing model is a useful tool for performance analysis and control design for a variety of transportation systems. In this article, we study the joint impact of stochastic capacity and spillback on the long-time…

We investigate a social system of agents faced with a binary choice. We assume there is a correct, or beneficial, outcome of this choice. Furthermore, we assume agents are influenced by others in making their decision, and that the agents…

We introduce a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of primary interest are functionals of these coefficients, including predicted one-step-ahead and stationary…

This paper considers some designs for sampling and interventions in dynamic networks and spatial temporal settings. The sample spreads through the population largely by tracing network links, although random sampling or spatial designs may…

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…

Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…

Network interference occurs when a unit's outcome depends not only on its own treatment but also on the treatments received by connected units in the network. Experimental designs and analysis methods that ignore such interference can yield…