This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
This paper examines the network of communication practices among hedge fund managers.
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
The issue’s first paper looks at methodologies to measure spillover risks in European sovereign bond markets in the period 2004-15. Our second paper investigates European bond markets. Our final paper in this issue offers a promising new avenue of investigation...
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
The issue features three papers covering topics related to financial stability, group lending and financial markets stress.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
This paper uses network theory to develop models for credit decisions in group lending schemes.
This paper systematically reviews the theoretical literature on interbank networks.
The journal’s second issue features three very different approaches that use network theory to understand economic and financial phenomena.
This paper develops a framework based on integrated national accounting data that aims to capture linkages between different sectors of the economy. The resulting framework provides a useful platform for static policy simulations and shock transmission...
This paper considers a network of cross-border SWIFT message flows where nodes are the countries in which the sending and receiving banks are domiciled. The authors analyze how the payment flows reflect or predict various aspects of the real economies.
This paper aims to quantify cascades of price movements in financial markets. It considers nonlinear lead-lag effects with stocks in the S&P 100 as nodes, and it also looks at directed links between the stocks identified through Granger causality. The...
A multiplex network analysis of the Mexican banking system: link persistence, overlap and waiting times
The paper provides very rich insight into the complex multiplex nature of the Mexican financial system and will help researchers understand and model how these networks interact in other countries where data at such a detailed level is not available.