We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model
Networks represent a useful tool to describe relationships among financial firms and network analysis has been extensively used in recent years to study financial connectedness. An aspect, which is of
We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial co
This paper develops a new large-scale firm-level simulation model, the Corporate Sector Agent-Based (CAB) Model, which is applied to analyse the COVID-19 shock and policy options in Barnes, Hillman, M
Organisation for Economic Co-operation and Development50
