Index
ISBN: 978-1-83867-576-9, eISBN: 978-1-83867-575-2
ISSN: 0731-9053
Publication date: 19 October 2020
This content is currently only available as a PDF
Citation
(2020), "Index", de Paula, Á., Tamer, E. and Voia, M.-C. (Ed.) The Econometrics of Networks (Advances in Econometrics, Vol. 42), Emerald Publishing Limited, Leeds, pp. 369-377. https://doi.org/10.1108/S0731-905320200000042019
Publisher
:Emerald Publishing Limited
Copyright © 2020 Emerald Publishing Limited
INDEX
Index
Note: Page numbers followed by “n” indicate notes.
Accelerated failure time model (AFT model)
, 237
“Activated entities”
, 340
Activators
, 345–351
Adaptive elastic net GMM method
, 32
Adaptive LASSO
, 32
Adaptive portfolio risk management approach
, 364
Adjacency matrix
, 4, 29–30, 32–33
Aggregate equilibrium conditions
, 120
adding local links
, 123–126
adding self-links
, 126–127
aggregation approach
, 122–123
Aggregate model specification
, 6
Akaike’s information criterion (AIC)
, 339
Allocation
parameters
, 122
rule
, 86–87
Applied microeconomics
, 118
Approximation error
, 9
Asian Crisis (1997–1998)
, 360
Assortative matching
, 270
Asymptotic distribution
, 66–68, 78–79
Auto loans
, 317, 319
Average empty-space distance function
, 178
Bank branches in Canada
, 176
data
, 178–180
disaggregated area analysis
, 176
geographical concentration
, 177–178
robustness
, 188
spatial dependence
, 177
spatial panel model
, 180–188
Bank of Montreal (BMO)
, 179
Bank of Nova Scotia
, 179
Banking network
, 320
Banknote circulation, survival analysis of
, 237
clusters
, 250–255
hazard model for banknotes
, 255–260
network and spatial patterns of banknotes
, 243–250
single note inspection data
, 237–243
Banknote distribution system (BNDS)
, 237
Banknote fitness
, 243–246
Baseline models
, 183–184
Bayesian econometrics
, 206
Bayesian information criterion (BIC)
, 339
Bellman’s equation
, 155–156
Bias
, 4
Big data
, 236
Biological environment
, 147
Book and market values of firm
, 268–269
Bounded degree
, 113
Branch density
, 176, 183
Business
, 118
Canada, household debt in
, 316
Canadian Census
, 180
Canadian household debt
, 329n1
Canadian Imperial Bank of Commerce (CIBC)
, 179
Cascades effects
, 274–278
Cause spillover effects
, 334
Census metropolitan area level (CMA level)
, 188
Central Limit Theorem (CLT)
, 17
Centre for Economic Policy Research (CEPR)
, 358
Chains
, 14n4, 20, 22
Change of basis
, 28, 35, 52
Chilliwack Forest District
, 161
Cholesky decomposition
, 128
CISS
, 346
Cluster
, 178, 251–253
Clustering
, 124, 251
Co-author model
, 88
Co-stress
, 345–351
ID
, 340, 350
Coalition-proof Nash equilibrium
, 90
Coalitional games
, 84
Coast Appraisal Manual (2002)
, 163, 172
Coauthorship
model
, 116–120, 132–134
network
, 112
Cobb–Douglas utility function
, 92
Codes
, 117–118
Common correlated effects estimator (CCE estimator)
, 182
Computational simplifications
, 129, 141–142
residual categories of types
, 130–131
restriction to observed network types
, 129–130
Conditional posterior distributions
, 210, 212, 226–229
Confidence region
, 123, 127–128
Connectedness
by credit market
, 325–326
by FI type
, 323–325
Connections model
, 87
Consumer credit(s)
, 317
data
, 317–318
distributions of consumer loans
, 318–320
factors influencing FI-level interconnectedness
, 326–328
interconnectedness
, 316–317
markets
, 318
overlaping portfolio of consumer loans
, 320–326
stylized facts
, 317
Consumer demographic information
, 318
Consumer loans
connectedness by credit market
, 325–326
connectedness by FI type
, 323–325
distributions
, 318–320
network construction
, 320–321
overall connectedness
, 322–323
overlaping portfolio of
, 320
Contagion models
, 267
Contextual effect
, 5
Continuation region
, 155
Controlled Markov decision problems
, 146
Cooperation structure analysis
, 89
Correlated effects
, 28
Cosine similarity
, 320, 330n14
Cost function
, 119
CoVaR approach
, 334–335, 337
Credit cards
, 317–318
Credit default swap (CDS)
, 352–356
Credit market, connectedness by
, 325–326
Credit unions
, 329n10
Cross-holding
, 267, 270
matrix and values of organizations
, 270–272
Cross-sectional sample selection models (see also Social interactions models)
econometric model
, 207–209
Markov-chain Monte Carlo estimation
, 213
Monte Carlo evidence
, 213–221
posterior inference
, 209–212
Cross-shareholding relationships
, 266–267
Cross-validation
, 338–339
Cycle duration
, 243–246
Data augmentation
, 230–231
Data generating process
, 70–75
Data sources
method
, 171–173
output
, 173–174
Dependency matrix
, 272
Digital elevation model (DEM)
, 156–157
Directed graph
, 86
Disaggregated area analysis
, 176
Disassortative mixing
, 270
Disparity filter
, 321–322
Distance
distance-based measure
, 179
function
, 251
Disturbance processes
, 208
Diversification
, 269–270
Division of Financial Stability
, 363
Doğan and Taşpinar sampling (DT sampling)
, 211, 215, 221
Domestic systemically important banks (DSIBs)
, 316–319
Dot-Com bubble implosion
, 350
Double machine learning
, 258
Durbin spatial model (DSM)
, 181
Dynamic demand model
, 30
Dynamic geographical information system
, 146
Econometric model
, 207–209
Economic
applications in FRM
, 343–364
shock
, 334
tail risk management
, 336
Edge effects
, 173
Efficiency
, 11
efficiency–stability tension
, 91
Eigenvalues
, 34
Elastic net method
, 237, 257
Elevated household debt level
, 316
Endogenous effects
, 5, 28
Endowment realization
, 104
Entry and exit
, 177
Equal-weighted measure of interconnectedness
, 327–328
Estimates
, 307–310
Estimation methods
, 30, 112
EUCALLOCATION (ArcInfo function)
, 173
Euclidean distance
, 330n14
Euro Area policy makers
, 352
European Central Bank (ECB)
, 190n6
EuroStoxx 50 Volatility Index (VSTOXX)
, 346
Exogenous effects
, 28
Expected utility
for n-member market
, 104–105
for unreliable complete n-network
, 106–107
Faustmann’s rent
, 151
Faustmann–Marshall–Pressler solution (FMP solution)
, 150–152
criticisms
, 152–153
Federal Bank Act
, 329n10
Financial contagion
, 266
book and market values of firm
, 268–269
cascades effects
, 274–278
effect of cascades of failures
, 269
data description
, 270–272
diversification, integration, and homophily
, 269–270
industry collapse
, 278–284
literature review
, 267
model
, 268–270
network structure
, 273–274
results
, 273–284
Financial crisis (2008)
, 336, 362
Financial institutes/institutions (FIs)
, 236–237, 316, 334, 340–341, 329n4
connectedness by
, 323–325
factors influencing FI-level interconnectedness
, 326–328
interconnectedness of
, 320–321, 324
secondary FIs
, 324
Financial Institution File (FIF)
, 178
cleaning
, 203–204
Financial markets
, 336, 345, 362–363
Financial networks
, 267
Financial risk meter (FRM)
, 334–335, 340
co-stress, activators and network dynamics
, 345–351
computational characteristics
, 342–343
and credit default swaps
, 352–356
data and computational characteristics
, 340
data compilation
, 341–342
economic applications
, 343
financial institutions
, 340–341
implications and extensions
, 362–364
modeling framework
, 336–340
as predictor of recessions
, 356–362
preparation, estimation and reporting algorithm steps
, 344
SRM
, 351–352
systemic risk measure framework
, 336
Financial service companies
, 317
Financial stability
, 295, 316
Finite payoff depth
, 113
Firms
, 265–266
Fixed effect elimination
, 35
Fixed-coefficient production function
, 148–149
Forward Sortation Areas (FSAs)
, 176
Fraser Timber Supply Area (FTSA)
, 161
Friendship model
, 114–116, 122–123
simulation
, 131–132
FRM@Americas
, 335, 340, 342, 345, 347–348
FRM macroeconomic risk factors in
, 343
FRM@Europe
, 340, 342, 345, 347–348
for equity markets
, 335
FRM macroeconomic risk factors in
, 343
FRM@iTraxx
, 356
Eu Senior financials adjacency matrix
, 357
Eu Senior financials constituent network total degree of centrality
, 359
spillover channel
, 358
General risk market movement assessment
, 336
Generalized approximate cross-validation criterion (GACV)
, 334
Generalized cross-validation method
, 339
Generalized method of moments (GMM)
, 190n10
Generic neighborhood effects model
, 181–182
Geographic concentrations
, 176–178
Geographic information system (GIS)
, 156–159
Gibbs sampler
, 230
Gibbs sampling of parameters of interest
, 210–212
Google Trends
, 335
Graph
, 85–86
Graph-restricted game
, 88
Gross domestic product (GDP)
, 335
Group formation theories
, 84
Group-specific fixed effects
models with
, 35–37, 41–45
models without
, 38–41
Hausman specification test
, 185
Hazard model for banknotes
, 255–260
Heckman models
, 232–234
Herfindahl–Hirschman Index (HHI)
, 319, 327, 330n12
Heterogeneous peer effects, network model with
, 5–6
Heterophilic vertices
, 72
High co-stress entities
, 350
High-dimensional financial network
, 336
Home equity lines of credit (Heloc)
, 318–319
Homophily
, 269–270
principle of social network
, 62
vertices
, 71
Household
debt in Canada
, 316
indebtedness
, 316
Hyper-cube
, 128
Identification
, 299–301
Industrial concentrations
, 176
Information Management System (IMS)
, 236
Institutional distress
, 334
Integration
, 268–270
Interbank networks
, 306
Interconnectedness
, 316–317
of FIs
, 320–321
Interpersonal contacts
, 84
Inventory management system (IMS)
, 238
structure of IMS data set
, 238–241
Isomorphic subgraphs
, 113
Jacobian matrix
, 55
JOINITEM (ArcInfo function)
, 173
Jordan block
, 51
Jordan canonical form
, 44–45, 51
k-core decomposition algorithm
, 328n7
k-fold cross-validation method
, 339
K-means clustering method
, 251
Kaplan–Meier estimator (KM estimator)
, 255–256
L1-norm quantile linear regression
, 334
LASSO
, 32
method
, 339
penalization parameter
, 337
Latent variables
data augmentation
, 230–231
deriving conditional distributions of blocks
, 225–226
sampling vector of
, 210–211
Law of large numbers (LLN)
, 178
Leave-one-out cross-validation method
, 339
Leontief
production function
, 148
technology
, 149
Likelihood
, 210
Linderberg central limit theorem
, 67
Linear algebra
change of basis
, 52
Jordan canonical form
, 51
Linear independence of matrices
, 29–30
Linear quantile Lasso regression
, 337
Linear regression model
, 327
Linear-in-means model
, 4, 14n5
Lines of credit
, 317
Link-based SAR
, 294, 299
2SLS estimation
, 301–303
estimates
, 310
identification
, 299–301
Linkage costs
, 97–98
Loan types
, 317
Local economies
, 118
Local identification of parameters and Eigenvalues
, 57–59
Logistic regression model
, 336
Long-term refinancing operations (LTROs)
, 308
Lumber production
, 148–149
Lumber recovery factor (LRF)
, 149
Machine learning techniques
, 112
Macroeconomics
, 118
Macroprudential policy making.
, 362
Macroprudential Research Network (MaRs)
, 346
Marginal benefit
, 151
Market
market-aggregated connectedness
, 322–323
microstructure
, 300
segments
, 317
Markit iTraxx CDS indices
, 355
Markov chain Monte Carlo algorithm (MCMC algorithm)
, 123, 206, 213
Markov process
, 164
Markov’s inequality
, 18
Matrix
representation
, 291
triangularization
, 32, 35, 37, 41
Maximum sustainable yield
, 147, 149
Mean squared error (MSE)
, 251
Method of Payment Survey (MOP Survey)
, 180
Methods and theory
, 118
Minimum spanning tree algorithm
, 328n7
Model selection
, 257
Moment equation
, 65–66, 68–69
Money
circulation network
, 247–250
market microstructure
, 305–306
Monte Carlo evidence
, 213
design
, 213–215
results
, 215–221
Monte Carlo simulation study
, 10, 12, 303–305
Mortgage loans
, 319
Multigraph
, 116
Multiple adjacency-matrix framework
, 4–5
Myerson value
, 88–89
National Bureau of Economic Research (NBER)
, 335
recession indicator
, 358
“Neighborhood effects” literature
, 181–182
Network(s), 83–84 (see also Social network(s))
2SLS estimator
, 8–11
aggregate equilibrium conditions
, 120–127
computational simplifications
, 129–131
construction
, 320–321
cycle duration and banknote fitness
, 243–246
of decentralized exchanges
, 295–296
formation models
, 111
with heterogeneous peer effects
, 5–6
identification
, 6–8
model misspecification bias
, 11–12
models
, 4
money circulation network
, 247–250
recovered sets
, 131–134
reduction algorithm
, 328n7
and spatial patterns of banknotes
, 243
statistical inference
, 127–128
structure
, 273–274
type
, 113–114
utility and network positions
, 113–120
Newly planted forests
, 160
Neyman orthogonal moments/scores
, 258
Node-based SAR
, 294, 297–299
Non-directed graph
, 86
Non-distance-based measures
, 179
Non-isomorphic subgraphs
, 113
Non-linear models
, 206
Non-transferable utility
, 121
Normalized inverted Wishart sampler
, 231
Old-growth forests
, 160
Optimal harvesting strategy
, 156
Optimal weighting
, 70
Ordinary least squares estimator (OLS estimator)
, 256
Outcome equation
, 207
Over-the-counter market (OTC market)
, 294
Overlaping portfolio of consumer loans
, 320–326
Pairwise stability
, 89, 96, 120–121
Pairwise stable networks
, 97–98
Pareto efficiency
, 87
Pareto efficient network
, 98–99, 107
Payment system
, 305–306
Payments Canada Financial Institution File
, 178
geographic concentration
, 178–179
industrial concentration
, 179
Peer effects model
, 4
Penalization parameters
, 334
Physical bank branches
, 175
Polytope
, 127–128
Pooled LASSO estimator
, 32
Portfolio
diversification
, 327
similarity
, 320, 329n7
Post-crisis
, 363
Posterior inference
, 209
Gibbs sampling of parameters of interest
, 210–212
likelihood and conditional posterior distributions
, 210
priors
, 209–210
Pre-crisis
, 363
Predicted type shares
, 122
Preference classes
, 122
Priors
, 209–210, 224
Probability
, 93–94
of adjacency matrix
, 71
PRT approach
, 112–113, 120, 122
Pseudocode of financial contagion model
, 292
Quadratic programing problem (QP problem)
, 112, 123, 127–128
Quantile regression
, 334–339
Quasi-Maximum Likelihood Estimator
, 301
R software
, 336
Racial segregation
, 111–112
Real GDP
, 335
Real Time Gross Settlement Payment System (RTGS Payment System)
, 305
Recapitalizations
, 336
Recession
FRM as predictor of
, 356
probabilities provision
, 336
probability indicators
, 335
Recursive methods
, 146
Recursive solution via method of dynamic programing, 153 (see also Stochastic dynamic programing)
assumptions concerning economic and physical environment
, 153–154
Bellman’s equation
, 155–156
solution strategy
, 154–155
Reflection problem
, 28
Regenerative, optimal-stopping problem
, 154
Regional distribution center (RDC)
, 237
Regional distribution point (RDP)
, 237
Regression
results
, 193–200
tree analysis
, 119
Rent extraction
, 149–150
Repayment schedule
, 318
Researcher utility
, 116
Residential loan
, 328
Ridge regression
, 257
Robustness
, 188
Royal Bank of Canada (RBC)
, 179
Sample
moment equation
, 66
selection
, 62–63
Secondary FIs
, 316
Secured loans
, 318
Selection equation
, 207
“Shadow banking system”
, 363
Shapley value
, 88
Simulation parameters
, 272
Single note inspection data
, 237
institutional background
, 237
sample description
, 241–243
structure of IMS data set
, 238–241
Site heterogeneity
, 150
Site index
, 168n9
Six-degree separation theory
, 62
Size-weighted measure of interconnectedness
, 327–328
Slope factor
, 172
Smoothed recession probability
, 335
Snowball sampling
, 61–62, 64
Social interactions models
, 28
basic assumptions
, 33–34
estimation literature
, 32–33
identification literature and proposed methods
, 28–32
identification methods for
, 28
long panel identification
, 35–37
notation
, 34
short panel identification
, 37–46
Social network(s) (see also Trade networks)
for economic behavior
, 84
empirical application
, 75–77
estimation
, 65–70
setup
, 64
simulation
, 70–75
Society for Worldwide Interbank Financial Telecommunication (SWIFT)
, 307
Solution concept
, 121
Sovereign risk meter (SRM)
, 345, 351–352
Spatial autocorrelation
, 180
parameter
, 231–232
Spatial autoregressive model (SAR model)
, 4, 181, 294
Spatial competition of rival banks
, 187–188
Spatial dependence
, 177
Spatial Durbin dynamic panel model
, 30
Spatial error model (SEM)
, 33, 181
Spatial geographic concentration
, 187
Spatial market structure
, 186–187
Spatial or network interdependence
, 206
Spatial panel model
, 180
banks
, 184–187
baseline models
, 183–184
big five and small banks
, 187–188
Spatial socioeconomics
, 185–186
Spillover effects
, 295
empirical example
, 305–310
link-based SAR
, 299–303
Monte Carlo study
, 303–305
network of decentralized exchanges
, 295–296
node-based SAR
, 297–299
SRM@EuroArea
, 335, 345, 351
constituent network total degree of centrality
, 354–355
Stability
, 90–92, 121
Standard community-finding algorithm
, 118
Standard deviation (SD)
, 215
Standard FRM
, 335
Statistical inference
, 127–128
Statistics Canada Catographic Boundary File
, 180
Stochastic block model
, 70–73
Stochastic dynamic programing
, 146
computational issues
, 164–165
data set
, 161–164
geographical, intertemporal, and stochastic model
, 153–156
GIS
, 156–159
illustrative results
, 165–166
implementation
, 161–166
modeling growth and yield in stands of timber
, 160–161
theoretical structure
, 147–153
Stopping region
, 155
Strategic mortgage defaults
, 329n8
Strategic network formation theories
, 84
Strategy space
, 86
Strength
of strong ties
, 99–101
of tie
, 94
of weak ties
, 84
Strong Nash equilibrium
, 90
Structurally distinct network positions
, 112
Structurally similar network positions
, 112
Stumpage rate
, 149–150
Subsample of social network data
, 73–75
Superintendence of Companies, Securities and Insurance of Ecuador (SUPERCIAS)
, 266, 270
Symmetric labor market model
, 92
Systemic risk
, 334–336
FRM systemic risk measure framework
, 336–340
Tail dependencies
, 336
Tail Event NETwork risk approach (TENET risk approach)
, 334
TARGET2
, 305, 307
Ties
strategic establishment
, 94–99
strength
, 94
strength of strong ties
, 99–101
Timber supply area (TSA)
, 153
Toronto Dominion (TD)
, 179
Trade example
, 88
Trade networks, 92 (see also Social network(s))
basic setup
, 92–93
examples
, 87–88
imperfect reliability of links
, 93–94
literature
, 88–92
network formation game
, 85–87
strategic establishment of ties
, 94–99
strength of strong ties
, 99–101
Tree and Stand Simulator (TASS)
, 160–161
Tree Farm Licenses (TFL)
, 153
Tree-indexed Markov chain
, 7, 14n4, 22
Truncated multivariate normal equation (TMVN equation)
, 210
Tuned random walk metropolis-Hastings sampler
, 232
Tuning parameters
, 257
Two-stage least squares estimators (2SLS estimators)
, 4, 8, 301–303
asymptotic properties
, 9–10
finite sample performance
, 10–11
Two-step
identification strategy
, 30
LASSO regression
, 33
Two-way fixed effects
, 180
Type shares
, 114
Umbrella Movement
, 63, 75
Unemployment disparities
, 182
Uniformly bounded in absolute value (UB)
, 17
Utility and network positions
, 113
coauthorship model
, 116–120
friendship model
, 114–116
Value at Risk (VaR)
, 334, 337
Valued graphs
, 102n9
Variable Density Yield Prediction (VDYP)
, 161
Variance–covariance matrix
, 209
of idiosyncratic error
, 231
Vertices of graph
, 85
Voluntary networking
, 85
Walrasian equilibrium allocation
, 93, 104
Yield curve slope based predictor
, 335
- Prelims
- Section 1 Identification of Network Models
- Chapter 1: Identification and Estimation of Network models with Heterogeneous Interactions
- Chapter 2: Identification Methods for Social Interactions Models with Unknown Networks
- Chapter 3: Snowball Sampling and Sample Selection in a Social Network
- Section 2 Network Formation
- Chapter 4: Trade Networks and the Strength of Strong Ties
- Chapter 5: Application and Computation of a Flexible Class of Network Formation Models
- Section 3 Networks and Spatial Econometrics
- Chapter 6: Implementing Faustmann–Marshall–Pressler at Scale: Stochastic Dynamic Programing in Space
- Chapter 7: A Spatial Panel Model of Bank Branches in Canada
- Chapter 8: Full-information Bayesian Estimation of Cross-sectional Sample Selection Models
- Chapter 9: Survival Analysis of Bank Note Circulation: Fitness, Network Structure, and Machine Learning
- Section 4 Applications of Financial Networks
- Chapter 10: Financial Contagion in Cross-holdings Networks: The Case of Ecuador
- Chapter 11: Estimating Spillover Effects with Bilateral Outcomes
- Chapter 12: Interconnectedness through the Lens of Consumer Credit Markets
- Chapter 13: FRM Financial Risk Meter
- Index