Replication package for "Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks"

Description

The paper proposes a cross-jurisdictional measure ("the interlinkage effect") of fire sale spillovers using a standard fire sale model calibrated using connectedness measures obtained from a time series network estimation. The paper find that this interlinkage effect has increased substantially at the global level since the global financial crisis, suggesting a global structural change in the transmission of market shocks.

Steps to reproduce

The replication procedures are given in the read_me.txt file. The directory contains an excel file for constructing the data, a Matlab file for estimating the global financial system based on Diebold and Yilmaz (2009, 2014), and an excel file for calculating the interlinkage effect described in the paper.

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