Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions

Anufriev, M; Panchenko, V

Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions

Anufriev, M

Panchenko, V

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Publication Type:: Journal Article
Citation:: Journal of Banking and Finance, 2015, 61 pp. S241 - S255
Issue Date:: 2015-12-01

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Field	Value	Language
dc.contributor.author	Anufriev, M https://orcid.org/0000-0002-1842-6814	en_US
dc.contributor.author	Panchenko, V	en_US
dc.date.available	2020-05-25T19:20:30Z
dc.date.issued	2015-12-01	en_US
dc.identifier.citation	Journal of Banking and Finance, 2015, 61 pp. S241 - S255	en_US
dc.identifier.issn	0378-4266	en_US
dc.identifier.uri	http://hdl.handle.net/10453/121970
dc.description.abstract	© 2015 Elsevier B.V. This paper connects variance-covariance estimation methods, Gaussian graphical models, and the growing literature on economic and financial networks. We construct the network using the concept of partial correlations which captures direct linear dependence between any two entities, conditional on dependence between all other entities. We relate the centrality measures of this network to shock propagation. The methodology is applied to construct the perceived network of publicly traded Australian banks and their connections to domestic economic sectors and international markets. We find strong links between the big four Australian banks, real estate and other sectors of the economy, and determine which entities play a central role in transmitting and absorbing the shocks.	en_US
dc.relation.ispartof	Journal of Banking and Finance	en_US
dc.relation.isbasedon	10.1016/j.jbankfin.2015.08.034	en_US
dc.subject.classification	Finance	en_US
dc.title	Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions	en_US
dc.type	Journal Article
utslib.citation.volume	61	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1401 Economic Theory	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	61	en_US

Abstract:

© 2015 Elsevier B.V. This paper connects variance-covariance estimation methods, Gaussian graphical models, and the growing literature on economic and financial networks. We construct the network using the concept of partial correlations which captures direct linear dependence between any two entities, conditional on dependence between all other entities. We relate the centrality measures of this network to shock propagation. The methodology is applied to construct the perceived network of publicly traded Australian banks and their connections to domestic economic sectors and international markets. We find strong links between the big four Australian banks, real estate and other sectors of the economy, and determine which entities play a central role in transmitting and absorbing the shocks.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/121970