英文标题：
《Relation between regional uncertainty spillovers in the global banking
system》
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作者：
Sachapon Tungsong, Fabio Caccioli, Tomaso Aste
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最新提交年份：
2017
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英文摘要：
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on vector autoregression (VAR) and forecast error variance decomposition (FEVD). We compute the total network connectedness for each of the three banking systems, which quantifies regional uncertainty. Results over rolling windows of 300 days during the period between 2005 and 2015 reveal changing uncertainty patterns which are similar across regions, with common peaks associated with identifiable exogenous events. Lead-lag relationships among changes of total network connectedness of the three systems, quantified by transfer entropy, reveal that uncertainties in the three regional systems are significantly causally related, with the North American system having the largest influence on EU and ASEAN.
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中文摘要：
我们报告了北美、欧盟和东盟三个银行系统内的时变网络连通性。对Diebold和Yilmaz的原始方法进行了改进，在向量自回归（VAR）和预测误差方差分解（FEVD）上使用指数加权日收益率和岭正则化。我们计算了三个银行系统中每个系统的总网络连通性，从而量化了区域不确定性。2005年至2015年期间300天滚动窗口的结果显示，不同地区的不确定性模式变化相似，常见峰值与可识别的外部事件相关。通过传递熵量化的三个系统总网络连通性变化之间的超前-滞后关系表明，三个区域系统中的不确定性具有显著的因果关系，其中北美系统对欧盟和东盟的影响最大。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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