CeReFiM (DeFiPP), Université de Namur, Namur, Belgium.
Namur Center for Complex Systems - naXys, Université de Namur, Namur, Belgium.
PLoS One. 2018 Apr 25;13(4):e0195110. doi: 10.1371/journal.pone.0195110. eCollection 2018.
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network science. Relying on a Time-Varying Parameter Vector AutoRegressive (TVP-VAR) approach on stock market returns to retrieve unobserved directed links among financial institutions, we reconstruct a fully dynamic network in the sense that connections are let to evolve through time. The financial system analysed consists of a large set of 155 financial institutions that are all the banks, broker-dealers, insurance and real estate companies listed in the Standard & Poors' 500 index over the 1993-2014 period. Looking alternatively at the individual, then sector-, community- and system-wide levels, we show that network sciences' tools are able to support well-known features of the financial markets such as the dramatic fall of connectivity following Lehman Brothers' collapse. More importantly, by means of less traditional metrics, such as sectoral interface or measurements based on contagion processes, our results document the co-existence of both fragmentation and integration phases between firms independently from the sectors they belong to, and doing so, question the relevance of existing macroprudential surveillance frameworks which have been mostly developed on a sectoral basis. Overall, our results improve our understanding of the US financial landscape and may have important implications for risk monitoring as well as macroprudential policy design.
本文利用市场数据推断金融关联的最新研究成果，采用网络科学中的多种工具，深入研究美国金融业在较长时期内的发展演变。我们基于股票市场收益的时变参数向量自回归（TVP-VAR）方法，从观测到的金融机构间的无向联系中提取出未观测到的联系，从而构建了一个完全动态的网络，其中的连接是随着时间演变的。所分析的金融体系由一整套 155 家金融机构组成，这些机构均为标准普尔 500 指数（1993-2014 年）中列出的银行、经纪自营商、保险和房地产公司。我们分别从个体、部门、社区和系统整体层面进行考察，结果表明网络科学的工具能够支持金融市场的一些众所周知的特征，例如雷曼兄弟倒闭后连接性的急剧下降。更重要的是，通过使用一些不太传统的指标，如部门接口或基于传染过程的度量，我们的研究结果证明了企业之间的碎片化和整合阶段是同时存在的，而这种情况质疑了现有的宏观审慎监管框架的相关性，这些框架主要是基于部门制定的。总体而言，我们的研究结果增进了对美国金融格局的理解，对于风险监测以及宏观审慎政策设计可能具有重要意义。
