题 目：Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network“Tripod”Model with Thresholds

主讲人：孙航荷兰马斯特里赫特大学金融系应届博士毕业生

时 间：2016年12月6日(周二)下午15:00

地 点：经济学院106教室

孙航，于2011年在武汉大学获得会计学学士和统计学学士学位，于2013年在武汉大学获得世界经济学硕士学位，现为荷兰马斯特里赫特大学（Maastricht University）金融系博士生，将于2017年毕业。

论文摘要：In recent years a growing number of methodologies have been proposed to empirically measure the connectedness among financial entities. However, few of them attempt to profile the dynamics of the financial connectedness. This paper aims to fill this gap and proposes a novel and systematic model to portray not only the connectedness in a given regime but also its transitions across different regimes. The model is based on an improved version of a “tripod” model, which unifies structural vector auto-regressions (SVARs), spatial models, and network models under one framework. I introduce a transition mechanism into my model, thus making it possible to observe how the interconnections among financial entities vary with certain threshold variables. My model may be applied to various issues regarding the financial and non-financial interconnections among certain entities. As an illustration, I show how my model can shed some new light on the modeling of the recent Eurozone contagions. I reveal a clear causal map of the propagation of shocks among the stock markets in five selected Eurozone countries in both the contagion and non-contagion periods, which are determined automatically by a CDS index. I confirm the existence of contagion among the stock markets in these countries in recent years, and reject the hypothesis that the contagion is solely conducted by the cross-border interbank channel. And the unique roles played by each selected market under both the contagion and non-contagion regimes are efficiently summarized by network analyses.