Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
提出一种动态计量经济学方法，用于建模大型金融网络的持续性、结构变化和稀疏性，并应用于英国隔夜货币市场数据（2003-2012），成功捕捉银行间借贷关系的动态变化。
Summary We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate dynamic Tobit‐type models for each pair of banks, allowing for deterministic or stochastic time‐varying parameters, and then aggregate across all bank pairs. To tackle the high dimensionality of the model, we construct a few lagged variables that efficiently summarize the position of a bank pair in the network. We propose a simple and computationally easy kernel‐based local maximum likelihood estimator of the time‐varying parameters of the model and establish its asymptotic properties. We then apply the model to the time series of daily overnight money market network in the UK 2003–2012. The results show that our model can successfully accommodate the numerous structural breaks arising from changes to the monetary framework and captures well the dynamics of the interbank lending relationships in this period. Copyright © 2015 John Wiley & Sons, Ltd.