Bomin Jiang

Institute for Data, Systems, and Society
Massachusetts Institute of Technology
77 Massachusetts Ave, 32D-758
Cambridge, MA 02139
Tel: 6172187585

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Massachusetts Institute of Technology

NBER Working Papers and Publications

March 2020Contingent Linear Financial Networks
with Roberto Rigobon, Munther A. Dahleh: w26814
In this paper, we develop a methodology to estimate hidden linear networks when only an aggregate outcome is observed. The aggregate observable variable is a linear combination of the different networks and it is assumed that each network corresponds to the transmission mechanism of different shocks. We implement the methodology to estimate financial networks among US financial institutions. Credit Default Swap rates are the observable variable and we show that more than one network is needed to understand the dynamic behavior exhibited in the data.

National Bureau of Economic Research
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