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Dynamic effects of network exposure on equity markets

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posted on 2023-05-28, 00:13 authored by Moses KangogoMoses Kangogo, Vladimir VolkovVladimir Volkov
Until recently, there has been a growing research focusing on how to predict systemic risks to minimise the recurrence of financial crises, while the importance of understanding how network exposure contributes to the spread of financial distress in the financial system has been largely underestimated. This paper investigates whether network exposure contributes to both shock transmission and absorption. We utilise data from 45 economies and our findings show that both network intensity and interconnectedness in the financial system have impact on increasing network exposure. We also demonstrate how to estimate network intensity in the financial system. Our results indicate that an increased network intensity parameter is associated to period when the financial system is under stress.

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Department/School

Centre for Education

Publisher

University of Tasmania

Publication status

  • Published

Place of publication

Hobart

Rights statement

Copyright 2021 University of Tasmania Discussion Paper Series N 2021-03 JEL Classification: G15, G10, G01, C21

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  • Open

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