TY - JOUR
T1 - Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks
AU - Greenwood-Nimmo, Matthew
AU - Tarassow, Artur
PY - 2022
Y1 - 2022
N2 - We apply techniques from the event probability forecasting literature to the analysis of spillover scenarios in economic and financial networks. A simple spillover scenario is expressed as an inequality constraint with respect to a single spillover measure. More complex spillover scenarios can be defined as combinations of simple scenarios. The scenario probabilities are evaluated using a non-parametric bootstrap. We use our technique to study credit risk transmission among a group of 18 countries over the 2006–2010 period. We show that abrupt changes in the probabilities of “crisis scenarios†accurately map on to key events during the Global Financial Crisis.
AB - We apply techniques from the event probability forecasting literature to the analysis of spillover scenarios in economic and financial networks. A simple spillover scenario is expressed as an inequality constraint with respect to a single spillover measure. More complex spillover scenarios can be defined as combinations of simple scenarios. The scenario probabilities are evaluated using a non-parametric bootstrap. We use our technique to study credit risk transmission among a group of 18 countries over the 2006–2010 period. We show that abrupt changes in the probabilities of “crisis scenarios†accurately map on to key events during the Global Financial Crisis.
U2 - 10.1016/j.finmar.2021.100661
DO - 10.1016/j.finmar.2021.100661
M3 - Article
SN - 1386-4181
VL - 59
SP - 1
EP - 19
JO - Journal of Financial Markets
JF - Journal of Financial Markets
IS - A
ER -