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Coupling direction of the European Banking and Insurance sectors using inter-system recurrence networks

Peter Martey Addo (pkaddo2000@yahoo.com)
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Peter Martey Addo: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: Modern financial systems exhibit a high degree of interdependence making it difficult in predicting. This has raise concerns on the correct identification of coupling direction in financial sectors of the economy. This study explores a "two-way" risk connection between the European banking and insurance sector based on geometrical closeness of observations. Specifically, the study looks at the inter-system recurrence networks in tracing dynamical transitions and detecting coupling direction between these sectors. The overall results shows that the banking sector is central in risk transmission compared to the insurance sector. A comprehensive discussion of the feasibility and relevance of the approach in studying systemic risk is provided.

Keywords: financial institutions; recurrence networks; systemic risk; recurrence plots; institution financières; réseaux de récurrence; risque systémique; parcelles de récidive (search for similar items in EconPapers)
Date: 2015-06
New Economics Papers: this item is included in nep-ban, nep-hme and nep-ias
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01169516
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Published in 2015

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01169516

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