Replication package for "Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks"

The paper proposes a cross-jurisdictional measure ("the interlinkage effect") of fire sale spillovers using a standard fire sale model calibrated using connectedness measures obtained from a time series network estimation. The paper find that this interlinkage effect has increased substantially at the global level since the global financial crisis, suggesting a global structural change in the transmission of market shocks.