Monitoring banking system connectedness with big data
利用大数据监测银行体系关联性
In this paper, we propose a procedure that generates measures of connectedness between individual firms and for the system as a whole based on information observed only at the firm level; i.e., no explicit linkages are observed. We apply our procedure to large U.S. bank holding companies. We show how bank outcome variables of interest can be decomposed, including with mixed-frequency models, for network analysis to measure connectedness across firms. Network analysis of…