Transmission of Financial Shocks: A systemic Input-Output GVAR approach

Información del proyecto

Shocks Transmission

Identificador del acuerdo de subvención: 749161

DOI

10.3030/749161

Proyecto finalizado el 21 Junio 2019

Fecha de la firma de la CE 11 Abril 2017

Fecha de inicio 1 Septiembre 2018

Fecha de finalización 31 Agosto 2020

Financiado con arreglo a

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Coste total

€ 183 454,80

Aportación de la UE

€ 183 454,80

Coordinado por

LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE
United Kingdom

Objetivo

Over the past years, the economic and financial systems have become increasingly globalized and vulnerable with important implications for risk management by commercial banks and other institutions. However, despite the fact that sophisticated models for quantifying credit risk have been developed, everyday practice has shown that risk, due to its inherent role in the economic system, is affected by both: (i) macroeconomic factors and (ii) financial factors. Hence, it would be extremely beneficial to generate scenario analyses, real-time simulations and forecasts based on a core set of variables.
For instance, a question of great importance is the following: “what is the impact of a sudden change, e.g. collapse of the Greek banking sector, on the financial services sector of another country, e.g. Austria?” Currently, standard models are not capable of addressing such questions, because such questions involve interdependence at the sectoral and country level, simultaneously.
It would be helpful to measure how vulnerable specific entities are, to shocks in other related entities of the system. This process would help in redesigning the system so as to be able to absorb shocks. Here, we make the assumption that most phenomena in the global economy are interdependent on each other. In this context, we will estimate - for the first time in the literature - the impact that a shock in a specific entity in a specific country can have on any other entity in any other country. The proposed approach will be based on the GVAR model and on Input-Output Tables for constructing the weight matrix, which is crucial in expressing the aforementioned relationships. To do so, we will make use of network theory to select the dominant entities in the system. Our findings will help develop relevant policies, public or private, designed to reduce the risk, which is inherent to the system.

Ámbito científico (EuroSciVoc)

• ciencias naturales › ciencias físicas › física teórica › física de partículas
• ciencias sociales › sociología › gobernanza › gestión de crisis

Palabras clave

• Finance
• Banking
• GVAR

Programa(s)

• H2020-EU.1.3. - EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions PROGRAMA PRINCIPAL
  
• H2020-EU.1.3.2. - Nurturing excellence by means of cross-border and cross-sector mobility
  

Tema(s)

• MSCA-IF-2016 - Individual Fellowships
  

Régimen de financiación

MSCA-IF - Marie Skłodowska-Curie Individual Fellowships (IF)

Convocatoria de propuestas

H2020-MSCA-IF-2016

Coordinador

LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE

• Aportación neta de la UEn: € 183 454,80
• Dirección: Houghton Street 1 ; WC2A 2AE London ; Reino Unido
• Región: London › Inner London — West › Westminster
• Tipo de actividad: Higher or Secondary Education Establishments
• Coste total: € 183 454,80