H2020Индивидуална стипендия2018–2020

MultiNetMetrics · Multiplex Network Econometrics

„Хоризонт 2020“ — Действия „Мария Склодовска-Кюри“

Период: 2018-11-01 → 2020-10-31
Финансиране от ЕС: 177 599 €
Участници: 1
Схема: MSCA-IF-EF-ST

Линиите свързват координатора с партньорите.

Накратко на български

Мултислойните мрежи и новите економетрични методи анализират динамиката на финансовите институции и пазарите. Тези инструменти помагат за по-доброто разбиране на сложните връзки в икономическите системи при кризи.

Този кратък обзор е генериран от изкуствен интелект

Кратко обяснение, генерирано от езиков модел по текста на CORDIS. Оригиналът е по-долу.

Резултати накратко

Multiplex Network Econometrics

MultiNetMetrics has been focused on dynamic behaviour of networks by the development of novel econometric techniques related to time series and multilayer networks. After the 2007-2009 global financial crisis and consequently 2010-2012 European sovereign debt crisis, the macroeconomic and financial literature has focused on novel methods to explain this crisis. In particular, they start linking network theory to economic and econometric topics since network analysis allows a better understanding of complex systems of interconnected financial institutions and markets. This analysis could be extended to the current Covid situation although the data are not available, but it will be interested in the future to use the proposed models and methods to study the movements in the financial and macroeconomic markets. The work performed during MultiNetMetrics research project is based on novel scientific contributions, in particular methodological issues that will lead to future research projects. The scientific contributions originated in the research project cover novel methodology which can be used to study financial and macroeconomic networks. Moreover, the project has been presented in several conferences, workshops and seminars related to econometrics and statistics with an audience of academics and policy makers from university and central banks.

Текст от CORDIS, на английски · Данни: CORDIS, © Европейски съюз

Цел на проекта

Network analysis has been recently used in economics and finance for studying macroeconomic and financial crises. It has shown to contribute to a better understanding of complex systems of interconnected financial institutions and markets. It also enables policy makers to explain why and how financial and economic systems are interconnected.So far most research has focused on static and single-layer networks. The two main research aims of this project are to study (i) the dynamic behaviour of networks and (ii) its possible dynamic linkages between different network layers. The project is referred to as MultiNetMetrics. It aims to develop novel and appropriate econometric methods to address the two research challenges in a computationally feasible way. For the first objective of developing dynamic networks, I will develop innovative inference methods for identifying the dynamics (observed or latent) in networks using a novel graphical vector autoregressive, score-driven time-varying parameter model. For the second objective, I will further extend the model to capture the dynamics of multilayer and multiplex representations of financial networks. This will lead to a better understanding of the possible dynamic relations between economic and financial variables in different network layers. The project is hosted by VU Amsterdam, one of the top research groups in time series econometrics. The project also includes a secondment at the Dutch central bank to implement the models empirically and to valorize the new research findings directly by interacting with policy makers.

Оригинален текст от CORDIS (на английски).

Участници

STICHTING VU · AmsterdamКоординаторНидерландия