The kiss of information theory that captures systemic risk

Peter Martey Addo, Philippe De Peretti (), Hayette Gatfaoui and Jakob Runge ()
Additional contact information
Philippe De Peretti: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr
Jakob Runge: Postdam Institute for Climate Impact Research and Humboldt University Berlin

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: We provide a new approach to understanding systemic risk by analysing complex linkages in finance and insurance sectors. The analysis is achieved by using a recently proposed method for quantifying causal coupling strength, which identifies the existence of causal dependencies between two components of a multivariate time series and assesses the strength of their association by defining a meaningful coupling strength. The measure of association is general, causal and lag-specific, reflecting a well interpretable notion of coupling strength and is pratically computable. A comprehensive analysis of the feasibility of this approach is provided via simulated and real data

Keywords: Systemic risk; causal dependencies; financial institutions; linkages; Sovereign debt (search for similar items in EconPapers)
JEL-codes: C32 C40 C51 G12 G29 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2014-10, Revised 2015-03
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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ftp://mse.univ-paris1.fr/pub/mse/CES2014/14069R.pdf (application/pdf)

Related works:
Working Paper: The kiss of information theory that captures systemic risk (2014)
Working Paper: The kiss of information theory that captures systemic risk (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:14069r

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