Essays about: "Emanuele Paccagnella"

Found 1 essay containing the words Emanuele Paccagnella.

  1. 1. Networks of spillover effects to spot systemic risk in the banking industry: testing Granger causality in a high dimensional VAR model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emanuele Paccagnella; [2023]
    Keywords : Systemic risk - Network - Contagion - Banks - VAR; Business and Economics;

    Abstract : In this essay the evolution of global systemic risk is investigated by creating networks (and communities) of contagion among 88 banks that are deemed systemically important on a global level (particularly western economy). The contagion is defined by a Granger Causality relation between two individuals in the network, this is tested using the Post double selection method described in Margartitella et al. READ MORE