Objective Network analysis has been recently used in economics and finance for studying macroeconomic and financial crises. It has shown to contribute to a better understanding of complex systems of interconnected financial institutions and markets. It also enables policy makers to explain why and how financial and economic systems are interconnected.So far most research has focused on static and single-layer networks. The two main research aims of this project are to study (i) the dynamic behaviour of networks and (ii) its possible dynamic linkages between different network layers. The project is referred to as MultiNetMetrics. It aims to develop novel and appropriate econometric methods to address the two research challenges in a computationally feasible way. For the first objective of developing dynamic networks, I will develop innovative inference methods for identifying the dynamics (observed or latent) in networks using a novel graphical vector autoregressive, score-driven time-varying parameter model. For the second objective, I will further extend the model to capture the dynamics of multilayer and multiplex representations of financial networks. This will lead to a better understanding of the possible dynamic relations between economic and financial variables in different network layers. The project is hosted by VU Amsterdam, one of the top research groups in time series econometrics. The project also includes a secondment at the Dutch central bank to implement the models empirically and to valorize the new research findings directly by interacting with policy makers. Fields of science social scienceseconomics and businesseconomicseconometrics Programme(s) H2020-EU.1.3. - EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions Main Programme H2020-EU.1.3.2. - Nurturing excellence by means of cross-border and cross-sector mobility Topic(s) MSCA-IF-2017 - Individual Fellowships Call for proposal H2020-MSCA-IF-2017 See other projects for this call Funding Scheme MSCA-IF-EF-ST - Standard EF Coordinator STICHTING VU Net EU contribution € 177 598,80 Address De boelelaan 1105 1081 HV Amsterdam Netherlands See on map Region West-Nederland Noord-Holland Groot-Amsterdam Activity type Higher or Secondary Education Establishments Links Contact the organisation Opens in new window Website Opens in new window Participation in EU R&I programmes Opens in new window HORIZON collaboration network Opens in new window Other funding € 0,00
