We propose a Markov Switching Graphical Seemingly Unrelated Regression (MS-GSUR) model to investigate time-varying systemic risk based on a range of multi-factor asset pricing models. Methodologically, we develop a Markov Chain Monte Carlo (MCMC) scheme in which latent states are identified on the basis of a novel weighted eigenvector centrality measure. An empirical application to the S&P100 constituents shows that cross-firm connectivity significantly increased over the period 1999-2003 and the financial crisis of 2008-2009. Finally, we provide evidence that firm-level centrality does not correlate with market values and is instead positively linked to realized financial losses.
Billio Monica (Corresponding)
|Data di pubblicazione:||2019|
|Titolo:||Modeling Systemic Risk with Markov Switching Graphical SUR Models|
|Rivista:||JOURNAL OF ECONOMETRICS|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1016/j.jeconom.2018.11.005|
|Appare nelle tipologie:||2.1 Articolo su rivista |