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• W4366455313 abstract "We explore how asset returns could be a good proxy to detect interlinkages in the financial system. This paper employs a US dataset for the 2002-2021 period. Pairwise returns correlation indicate the interconnectedness at the preliminary stage. The Principal Component Analysis captures a significant portion of variance and detects the co-movement and highly connected state of the financial market during crises. Granger centrality tested with pairwise directional variance decomposition indicates the importance of banks and insurance companies in the US financial system. This paper recommends policymakers use multiple network models to validate and calibrate the SIFIs list." @default.
• W4366455313 created "2023-04-22" @default.
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• W4366455313 date "2023-04-01" @default.
• W4366455313 modified "2023-09-30" @default.
• W4366455313 title "Centrality measures of financial system interconnectedness: A multiple crises study" @default.
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• W4366455313 doi "https://doi.org/10.1016/j.heliyon.2023.e15427" @default.
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