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Connections as Jumps: Estimating Financial Interconnectedness from Market Data
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Connections as Jumps: Estimating Financial Interconnectedness from Market Data. |
| 개인저자 | van Vliet, Willem Jan. |
| 단체저자명 | The University of Chicago. Economics and Business. |
| 발행사항 | [S.l.]: The University of Chicago., 2019. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
| 형태사항 | 147 p. |
| 기본자료 저록 | Dissertations Abstracts International 81-02A. Dissertation Abstract International |
| ISBN | 9781085558914 |
| 학위논문주기 | Thesis (Ph.D.)--The University of Chicago, 2019. |
| 일반주기 |
Source: Dissertations Abstracts International, Volume: 81-02, Section: A.
Advisor: Hansen, Lars Peter. |
| 이용제한사항 | This item must not be sold to any third party vendors.This item must not be added to any third party search indexes. |
| 요약 | I develop a new methodology for measuring interconnectedness between financial institutions using readily available market price data. I argue the classic endogeneity problem that arises when using contemporaneous price movements can be addressed by focusing on connections that trigger substantial spillovers upon default. Because spillovers are statistically similar to jumps (sudden, discontinuous reductions in the underlying asset value of the firm), the effects of such connections are found in the jump-like default risk of a firm. Importantly, the remaining default risk which captures smooth paths to default is not exposed to such connections. Therefore, under appropriate identification assumptions, regressing jump-like default risk on non-jump-like default risk uncovers causal evidence of direct and indirect exposures. In my empirical work, I adapt existing techniques for estimating jump risk to a model in which the firm is a levered claim on a latent asset, and use equity, equity options, and credit default swap data on large US financial institutions to isolate jump-like default risk. Applying the methodology to the largest financial firms during the 2008 financial crisis, I find estimates of connections that are consistent with well-known developments during the crisis: Firms change positions in the network in line with their risk and access to support programs. My estimates further suggest that market participants viewed the collapse of Lehman Brothers as a symptom, rather than the cause, of the crisis. The methodology I develop in this paper provides a new tool for monitoring the financial sector in real time using contemporaneous market price changes. |
| 일반주제명 | Economics. Finance. Information science. |
| 언어 | 영어 |
| 바로가기 | 
: 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
