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Monitoring banking system connectedness with big data
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DOI：10.1016/j.jeconom.2019.04.027.png)
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En 中文
In this paper, we propose a procedure that generates measures of connectedness between individual firms and for the system as a whole based on information observed only at the firm level; i.e., no explicit linkages are observed. We apply our procedure to large U.S. bank holding companies. We show how bank outcome variables of interest can be decomposed, including with mixed-frequency models, for network analysis to measure connectedness across firms. Network analysis of these decompositions produces measures that could be of use in financial stability monitoring as well as the analysis of individual firms linkages. Published by Elsevier B.V.
Keyword:
Financial stability
Bank supervision
Network centrality
Systemic connectedness
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