Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks

Matthew Greenwood-Nimmo*, Artur Tarassow

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

We apply techniques from the event probability forecasting literature to the analysis of spillover scenarios in economic and financial networks. A simple spillover scenario is expressed as an inequality constraint with respect to a single spillover measure. More complex spillover scenarios can be defined as combinations of simple scenarios. The scenario probabilities are evaluated using a non-parametric bootstrap. We use our technique to study credit risk transmission among a group of 18 countries over the 2006–2010 period. We show that abrupt changes in the probabilities of “crisis scenarios” accurately map on to key events during the Global Financial Crisis.

Original languageEnglish
Article number100661
JournalJournal of Financial Markets
Volume59
DOIs
Publication statusPublished - Jun 2022

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