Research Project: Varyans Ayrıştırmasının Ağ Topolojisi ve Mali Piyasalar Arasındaki Bağlanmışlığın Ölçümü
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Contributors
Funders
ID
TB.00085
Authors
Yılmaz, Kamil
Faculty Member
Publications
Estimating global bank network connectedness
(Wiley, 2018) Yılmaz, Kamil; Demirer, Mert; Diebold, Francis X.; Liu, Laura; Department of Economics; Yes; College of Administrative Sciences and Economics
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a strong geographic component, whereas country sovereign bond connectedness does not. Dynamically, we find that equity connectedness increases during crises, with clear peaks during the Great Financial Crisis and each wave of the subsequent European Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages.
How connected is the global sovereign credit risk network?
(Elsevier, 2020) Yılmaz, Kamil; Bostanci, Gorkem; Department of Economics; Yes; College of Administrative Sciences and Economics
This paper estimates the global network structure of sovereign credit risk by applying the Diebold-Yilmaz connectedness methodology on sovereign credit default swaps (SCDSs). The level of credit risk connectedness among sovereigns, which is quite high, is comparable to the connectedness among stock markets and foreign exchange markets. In the aftermath of the recent financial crises that originated in developed countries, emerging market countries have played a crucial role in the transmission of sovereign credit risk, while developed countries and debt-ridden developing countries have played marginal roles. Secondary regressions show that both trade and capital flows are important determinants of pairwise connectedness across countries. The capital flows became increasingly important after 2013, while the effect of trade flows decreased during the crisis and did not recover afterwards.
