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Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework
Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector autoregression model to analyze the dynamic spillover effects in the Chinese financial system. We find that the 2017 house price control policies have signific...
Autores principales: | , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer Berlin Heidelberg
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734361/ https://www.ncbi.nlm.nih.gov/pubmed/36532712 http://dx.doi.org/10.1007/s00181-022-02338-x |