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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...

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Detalles Bibliográficos
Autores principales:	Xu, Hai-Chuan, Jawadi, Fredj, Zhou, Jie, Zhou, Wei-Xing
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer Berlin Heidelberg 2022
Materias:	Article
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

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