Variance decomposition networks : potential pitfalls and a simple solution /

Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant gene...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chan-Lau, Jorge A. (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, District of Columbia] : International Monetary Fund, 2017.
Colección:IMF working paper ; WP/17/107.
Temas:
Decomposition method.
Decomposition method > Data processing.
MATHEMATICS > Calculus.
MATHEMATICS > Mathematical Analysis.
Decomposition method
Decomposition method > Data processing
All Countries.
Other.
Mortgages.
Time-Series Models.
Economic Forecasting.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Contents; 1. Motivation; 2. Network Interconnectedness and Systemic Risk: A Brief Literature Review; 3. Methodology; A High Dimensional VAR Estimation; B. The Pesaran-Shin and Lanne-NybergGFEVDs; C. Variance Decomposition Networks; 4. A Case Study: Systemic Risk in the Global Financial Network; 5. Conclusions; References; Appendix: Selected Tables, January 2001
  • July 2016; Figures; 1. Distribution of Pesan-Shin total GFEVD contributions to the equity returns of individual firms, full sample and sub-sample periods; 2. Number of overlapping firms in the top fifty DY and CLNDY rankings.
  • 3a. Banks: systemic risk rankings, probability distribution evolution3b. Life insurers: systemic risk rankings, probability distribution evolution; 3c. Property/casualty/health insurers: systemic risk rankings, probability distribution evolution; 4a. Banks: systemic vulnerability rankings, probability distribution evolution; 4b. Life insurers: systemic vulnerability rankings, probability distribution evolution; 4c. Property/casualty/health insurers: systemic vulnerability rankings, probability distribution evolution; Tables; 1. Distribution of firms per country.
  • 2. Rank correlations, Diebold-Yilmaz and corrected Lanne-Nyberg-Diebold-Yilmaz rankings3a. Systemic risk rankings, all firms: January 2001
  • December 2004; 3b. Systemic risk rankings, all firms: January 2005
  • December 2008; 3c. Systemic risk rankings, all firms: January 2009
  • December 2012; 3d. Systemic risk rankings, all firms: January 2013
  • July 2016; 3e. Systemic risk rankings, all firms: January 2001
  • July 2016; 4a. Systemic vulnerability rankings, all firms: January 2001
  • December 2004; 4b. Systemic vulnerability rankings, all firms: January 2005
  • December 2008.
  • 4c. Systemic vulnerability rankings, all firms: January 2009
  • December 20124d. Systemic vulnerability rankings, all firms: January 2013
  • July 2016; 4e. Systemic vulnerability rankings, all firms: January 2001
  • July 2016; 5. Top fifty systemic firms, by headquarter locations; 6. Top fifty systemic firms, by industry, in percent; A1. Advanced Asia
  • systemic risk rankings; A2. Emerging markets economies
  • systemic risk rankings; A3. Europe
  • systemic risk rankings; A4. North America
  • systemic risk rankings; A5 Advanced Asia
  • systemic risk rankings.
  • A6. Emerging markets economies
  • systemic risk rankingsA7. Europe
  • systemic risk rankings; A8. North America
  • systemic risk rankings.

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