文澜学术系列讲座 第135期 武汉大学经济与管理学院韩立宁老师:“Financial Network and Industry Connectedness”
日期:2018-12-06             信息来源:文澜学院

主题|TopicFinancial Network and Industry Connectedness

时间|Time127号(周五)|Dec. 7th (Friday), 400 - 630PM

地点Venue文波楼205室教室|Lecture Room 205WENBO


主讲|Speaker

韩立宁老师现为武汉大学经济与管理学院数理经济系助理教授,毕业于美国夏威夷大学马诺分校,获得经济学博士学位,主要研究博弈论,网络经济学,金融经济学等方向。目前已在Games and Economic Behavior 等多个学术期刊发表文章。


研究领域|Research Interests 

博弈论,网络经济学,金融经济学

Game theory, Network Economics, Financial Economics


摘要|Abstract

We investigate the networks of industry based on the volatility of value-weighted and equal-weighted portfolios from 1927 to 2017. The network structures measure the relationships of risk spillover between industries through adopting the method of generalized variance decomposition to estimate the comovements of volatility of industry portfolios. The static analysis of whole sample shows the industry of durable goods, energy and telecommunications are risk receivers, and industry of nondurable, manufacturing and other send the uncertainty to others. The dynamic analysis of rolling window presents the development of relationships of risk spillover between industries. The industry of telecommunications switches from a risk receiver to a risk sender after 2000. Finance industry becomes the biggest source of risk spreading to others during the financial crisis of 2007-2009, while the industries of real estates, utilities, shops, energy such as coal and oil have a short-term decline in total direct connectedness.