Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?
全球银行网络关联的分解:共同驱动、特异驱动及其期限
We propose a novel approach to estimate high-dimensional global bank network connectedness in both the time and frequency domains. By employing a factor model with sparse VAR idiosyncratic components, we decompose system-wide connectedness (SWC) into two key drivers: (i) common component shocks and (ii) idiosyncratic shocks. We also provide bootstrap confidence bands for all SWC measures. Furthermore, spectral density estimation allows us to disentangle SWC into short-,…