Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Keyphrases

• Time-varying Parameter Vector Autoregression 100%
• Management Crisis 50%
• Long-Term Capital Management 50%
• Main Events 50%
• Systemic Risk 50%
• Crisis Events 50%
• Rolling Window Approach 50%
• Spillover Effect 50%
• 2008 Financial Crisis 50%
• Financial Spillovers 50%
• Market-based Measures 50%
• Standard & Poor's 500 50%

Economics, Econometrics and Finance

• Financial Institution 100%
• Autoregression 100%
• Bayesian 100%
• Financial Crisis 50%
• Spillover Effect 50%
• Crisis Management 50%

INIS

• levels 100%
• vectors 100%
• market 66%
• management 33%
• dynamics 33%
• risks 33%
• capital 33%
• rolling 33%