Title: Business shock transmission: A multilayer network perspective
Authors: Monica Billio - University of Venice (Italy) [presenting]
Roberto Casarin - University Ca' Foscari of Venice (Italy)
Luca Rossini - Vrije Universiteit Amsterdam (Netherlands)
Abstract: Network structures from a vector autoregressive(VAR) model are extracted to investigate shock transmission effects between variables and cluster the linkages into groups at different layer and at multilayer. A previous multiple shrinkage prior proposed allows us to better understand shock transmission phenomena, the extraction of multilayer and coloured contagion networks and the classification of the linkages strength. The empirical results represent a different point of view on international business cycles providing interesting new findings in the relationship between core and periphery countries and in the centrality of countries within each group and over lags. Finally, the multilayer representation provides evidence of stronger shock transmission contagion effects than in single layers and we show a better identification of the most important and central variables in business shock transmission.