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Cited by 607

The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.

Estimating global bank network connectedness

Demirer, Mert, Diebold, Francis X., Liu, Laura, Yilmaz, Kamil·2018·Journal of Applied Econometrics
DOI 10.1002/jae.2585
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Abstract

Summary: We use LASSO methods to shrink, select, and estimate the high‐dimensional network linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize static network connectedness using full‐sample estimation and dynamic network connectedness using rolling‐window estimation. Statically, we find that global bank equity connectedness has a strong geographic component, whereas country sovereign bond connectedness does not. Dynamically, we find that equity connectedness increases during crises, with clear peaks during the Great Financial Crisis and each wave of the subsequent European Debt Crisis, and with movements coming mostly from changes in cross‐country as opposed to within‐country bank linkages.

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Metadata

Authors
Demirer, M., Diebold, F. X., Liu, L., & Yilmaz, K.
Venue
Journal of Applied Econometrics
Publisher
Wiley
Published
2017-07-31
Volume
33
Issue
1
Pages
1-15
ISSN
  • 0883-7252 (ISSN-L)
  • 1099-1255
DOI
10.1002/jae.2585
OpenAlex
W3124194226
Cited by
607
References
33
FWCI
43.47
Type
journal article
Language
en
Open access
closed

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.