Princeton University Library Catalog

Spatial Dependence and Data-Driven Networks of International Banks [electronic resource] / Ben Craig.

Author:
Craig, Ben [Browse]
Format:
Book
Language:
English
Published/​Created:
Washington, D.C. : International Monetary Fund, 2016.
Description:
1 online resource (34 p.)
Series:
IMF Working Papers [More in this series]
Summary note:
This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence methods to filter the effects of strong common factors and a thresholding procedure to select the significant bilateral correlations. The analysis of topological characteristics of the resulting correlation networks shows many common features that have been documented in the recent literature but were obtained with private information on banks' exposures, including rich and hierarchical structures, based on but not limited to geographical proximity, small world features, regional homophily, and a core-periphery structure.
Source of description:
Description based on print version record.
ISBN:
  • 1475536704 :
Doi:
  • 10.5089/9781475536706.001
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