Related papers: Cross-country hierarchical structure and currency …
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
The statistical distances between countries, calculated for various moving average time windows, are mapped into the ultrametric subdominant space as in classical Minimal Spanning Tree methods. The Moving Average Minimal Length Path (MAMLP)…
Analyzing available FAO data from 176 countries over 21 years, we observe an increase of complexity in the international trade of maize, rice, soy, and wheat. A larger number of countries play a role as producers or intermediaries, either…
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time…
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
The study efforts to explore and extend the crisis predictability by synthetically reviewing and comparing a full mixture of early warning models into two constitutions: crisis identifications and predictive models. Given empirical results…
Mathematical models have been used to understand the spread patterns of infectious diseases such as Coronavirus Disease 2019 (COVID-19). The transmission component of the models can be modelled in an age-dependent manner via introducing…
We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside…
Assessing world-wide financial integration constitutes a recurrent challenge in macroeconometrics, often addressed by visual inspections searching for data patterns. Econophysics literature enables us to build complementary, data-driven…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
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…
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…
To understand how fluctuations arise and are distributed in international trade, a question crucial for economic risk assessment and policymaking, we analyze strong adverse fluctuations-collapsed trades-defined as individual trades with…
We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP…
The Theil index is much used in economy and finance; it looks like the Shannon entropy, but pertains to event values rather than to their probabilities. Any time series can be remapped through the Theil index. Correlation coefficients can…
As part of global climate change an accelerated hydrologic cycle (including an increase in heavy precipitation) is anticipated. So, it is of great importance to be able to quantify high-impact hydrologic relationships, for example, the…
Poor economies not only produce less; they typically produce things that involve fewer inputs and fewer intermediate steps. Yet the supply chains of poor countries face more frequent disruptions---delivery failures, faulty parts, delays,…
We investigate hierarchical structures of the European countries by using debt as a percentage of Gross Domestic Product (GDP) of the countries as they change over a certain period of time. We obtain the topological properties among the…