Measuring the propagation of financial distress with Granger-causality tail risk networks
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DOI: 10.1016/j.jfs.2018.06.003
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More about this item
Keywords
G00; G01; G21; H63; C12; Financial stability; Systemic risk propagation; Granger-causality; Sovereign debt crisis; Illiquidity; Flight-to-quality;All these keywords.
JEL classification:
- G00 - Financial Economics - - General - - - General
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
Statistics
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