Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
金融网络动态与持久性的估计：英镑货币市场应用
Summary We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate dynamic Tobit‐type models for each pair of banks, allowing for deterministic or stochastic time‐varying parameters, and then aggregate across all bank pairs. To tackle the high dimensionality of the model, we construct a few lagged variables that efficiently summarize the position of a bank pair in…