Systemic Network Risk in a Generalized Event Study (GES) Model
نویسندگان
چکیده
We merge the event studies framework with network effects, viewing our framework as a rough analogue to error correction models (for cointegrated time series), but this empirical study focuses on networks of interconnected financial activity in a network equilibrium instead of cointegrated regressors moving together over time. We estimate the model on 2006-2010 market data for the 25 largest publicly-traded insurers and 25 largest publicly-traded banks. We appreciate comments on earlier drafts from... [your name here, perhaps]. The authors greatly acknowledge computational and other support from the University of Arizona Center for Population Science and Discovery, and from Brigham Young University.
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