Graphical Network Models for International Financial Flows_J BUS ECON STAT, 2016

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此篇文章发表在2016年Journal of Business & Economic Statistics。作者使用贝叶斯图形化模型来分析当今世界金融体系以及金融危机扩散的危险。

Abstract

The late-2000s financial crisis stressed the need to understand the world financial system as a network of countries, where cross-border financial linkages play a fundamental role in the spread of systemic risks. Financial network models, which take into account the complex interrelationships between countries, seem to be an appropriate tool in this context. To improve the statistical performance of financial network models, we propose to generate them by means of multivariate graphical models. We then introduce Bayesian graphical models, which can take model uncertainty into account, and dynamic Bayesian graphical models, which provide a convenient framework to model temporal cross-border data, decomposing the model into autoregressive and contemporaneous networks. The article shows how the application of the proposed models to the Bank of International Settlements locational banking statistics allows the identification of four distinct groups of countries, that can be considered central in systemic risk contagion.

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关键词：Internation financial graphical Financia inancial Network