Dynamic network analysis of North American financial institutions

Shaowen Liu, Massimiliano Caporin and Sandra Paterlini

Finance Research Letters, 2021, vol. 42, issue C

Abstract: We propose a state-space model to estimate the dynamic network among financial institutions selected from STOXX600 North America in the period from January 2005 to May 2020. We measure the network strength and find that the spillover effect increases significantly during the 2008 financial crisis and the coronavirus pandemic. Using weekly updates of the weight matrix, we detect four time-varying communities. Three communities mostly include companies of the financial supersectors, while the remaining includes Canadian companies. Furthermore, the communities centralities peak during the 2008 financial crisis, while during the COVID-19 period lower values are estimated.

Keywords: Financial network; Dynamic network; COVID19; Financial contagion; Financial crises (search for similar items in EconPapers)
JEL-codes: C58 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321000027
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000027

DOI: 10.1016/j.frl.2021.101921

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().