Coupling direction of the European Banking and Insurance sectors using inter-system recurrence networks
Peter Martey Addo
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
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)
New Economics Papers: this item is included in nep-ban, nep-hme and nep-ias
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Published in 2015
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Working Paper: Coupling direction of the European Banking and Insurance sectors using inter-system recurrence networks (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01169516
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