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: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Jakob Runge: PIK - Potsdam Institute for Climate Impact Research, Department of Physics [Berlin] - HU Berlin - Humboldt-Universität zu Berlin = Humboldt University of Berlin = Université Humboldt de Berlin

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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)
Date: 2014-10
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-01110712v2
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2014

Downloads: (external link)
https://hal.science/hal-01110712v2/document (application/pdf)

Related works:
Working Paper: The kiss of information theory that captures systemic risk (2015)
Working Paper: The kiss of information theory that captures systemic risk (2014)
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:hal:cesptp:hal-01110712

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().