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

Peter Martey Addo

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

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 (search for similar items in EconPapers)
JEL-codes: C40 E50 G01 G20 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2015-06
New Economics Papers: this item is included in nep-ban and nep-ias
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ftp://mse.univ-paris1.fr/pub/mse/CES2015/15051.pdf (application/pdf)

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Working Paper: Coupling direction of the European Banking and Insurance sectors using inter-system recurrence networks (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:15051

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