ﻻ يوجد ملخص باللغة العربية
Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US housing market (1975-2011) at the state level based on the Random Matrix Theory (RMT). We identify rich economic information in the largest eigenvalues deviating from RMT predictions and unveil that the component signs of the eigenvectors contain either geographical information or the extent of differences in house price growth rates or both. Our results show that the US housing market experienced six different regimes, which is consistent with the evolution of state clusters identified by the box clustering algorithm and the consensus clustering algorithm on the partial correlation matrices. Our analysis uncovers that dramatic increases in the systemic risk are usually accompanied with regime shifts, which provides a means of early detection of housing bubbles.
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation for convex
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variatio
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coe
This paper focuses on the weekly idiosyncratic momentum (IMOM) as well as its risk-adjust
We consider a random financial network with a large number of agents. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the liabilities. The settlement of the debts of various agents at