000			03096cam a2200517Mi 4500
001			ocn990679593
003			OCoLC
005			20240829102409.0
006			m d
007			cr |||||||||||
008			170608t20172017dcua ob 000 0 eng d
040			_aIDEBK _beng _erda _cIDEBK _dCUY _dIDEBK _dOCLCQ _dOCLCO _dOCLCF _dOTZ _dN$T
020			_a1475598688 _q(electronic bk.)
020			_a9781475598681 _q(electronic bk.)
020			_z1475598629
035			_a1519180 _b(N$T)
035			_a(OCoLC)990679593
037			_a1011476 _bMIL
050		4	_aQA402.2
072		7	_aMAT _x005000 _2bisacsh
072		7	_aMAT _x034000 _2bisacsh
082	0	4	_a515.353 _223
049			_aMAIN
100	1		_aChan-Lau, Jorge A., _eauthor. _9858960
245	1	0	_aVariance decomposition networks : _bpotential pitfalls and a simple solution / _cby Jorge A. Chan-Lau.
264		1	_a[Washington, District of Columbia] : _bInternational Monetary Fund, _c2017.
264		4	_c©2017
300			_a1 online resource (48 pages) : _billustrations (some color), tables, graphs.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	0		_aIMF Working Paper ; _vWP/17/107
520	3		_aDiebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant generalized forecast error variance decomposition of Pesaran and Shin (1998). The shares of the forecast error variation, however, do not add to unity, making difficult to compare risk ratings and risks contributions at two different points in time. As a solution, this paper suggests using the Lanne-Nyberg (2016) decomposition, which shares the order invariance property. To illustrate the differences between both decomposition methods, I analyzed the global financial system during 2001 - 2016. The analysis shows that different decomposition methods yield substantially different systemic risk and vulnerability rankings. This suggests caution is warranted when using rankings and risk contributions for guiding financial regulation and economic policy.
590			_aAdded to collection customer.56279.3 - Master record variable field(s) change: 072
650		0	_aDecomposition method. _9151582
650		0	_aDecomposition method _xData processing. _9861708
650		7	_aDecomposition method. _2fast _0(OCoLC)fst00889130 _9151582
650		7	_aDecomposition method _xData processing. _2fast _0(OCoLC)fst00889131 _9861708
650		7	_aMATHEMATICS / Calculus _2bisacsh _9199348
650		7	_aMATHEMATICS / Mathematical Analysis _2bisacsh _9199349
655		4	_aElectronic books. _9396
856	4	0	_3EBSCOhost _uhttps://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1519180
938			_aProQuest MyiLibrary Digital eBook Collection _bIDEB _ncis38211933
938			_aEBSCOhost _bEBSC _n1519180
994			_a92 _bN$T
999			_c665168 _d665168