Signed spillover effects building on historical decompositions
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- Mardi Dungey & John Harvey & Pierre Siklos & Vladimir Volkov, 2017. "Signed spillover effects building on historical decompositions," CAMA Working Papers 2017-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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Citations
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Cited by:
- Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2020.
"Crisis transmission: Visualizing vulnerability,"
Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
- Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019. "Crisis transmission: visualizing vulnerability," Working Papers 2019-07, University of Tasmania, Tasmanian School of Business and Economics.
- Christian Gross & Pierre L. Siklos, 2020.
"Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
- Christian Gross & Pierre L. Siklos, 2018. "Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach," CQE Working Papers 7218, Center for Quantitative Economics (CQE), University of Muenster.
- Christian Gross & Pierre L. Siklos, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: A network approach," CAMA Working Papers 2019-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gross, Christian & Siklos, Pierre, 2018. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," ESRB Working Paper Series 78, European Systemic Risk Board.
- Groß, Christian, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203645, Verein für Socialpolitik / German Economic Association.
- Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
- Mardi Dungey & Renee Fry‐Mckibbin & Vladimir Volkov, 2020.
"Transmission of a Resource Boom: The Case of Australia,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 503-525, June.
- Mardi Dungey & Renee Fry-McKibbin & Vladimir Volkov, 2019. "Transmission of a resource boom: The case of Australia," CAMA Working Papers 2019-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Islam, Raisul & Volkov, Vladimir, 2020. "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers 2020-09, University of Tasmania, Tasmanian School of Business and Economics.
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More about this item
Keywords
Historical decomposition; DY Spillover; Granger Causality; Networks;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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