دانلود مقاله ISI انگلیسی شماره 80367
ترجمه فارسی عنوان مقاله

ریسک سیستمیک و علیت پویایی جهان در بازار حمل و نقل بین المللی

عنوان انگلیسی
Systemic risk and causality dynamics of the world international shipping market
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
80367 2014 11 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 415, 1 December 2014, Pages 43–53

ترجمه کلمات کلیدی
شبکه های پیچیده - ریسک سیستماتیک؛ شبکه همبستگی؛ فاصله براونی؛ آزمون علیت گرنجر
کلمات کلیدی انگلیسی
Complex networks; Systemic risk; Correlation networks; Brownian distance; Granger causality test
پیش نمایش مقاله
پیش نمایش مقاله  ریسک سیستمیک و علیت پویایی جهان در بازار حمل و نقل بین المللی

چکیده انگلیسی

Various studies have reported that many economic systems have been exhibiting an increase in the correlation between different market sectors, a factor that exacerbates the level of systemic risk. We measure this systemic risk of three major world shipping markets, (i) the new ship market, (ii) the second-hand ship market, and (iii) the freight market, as well as the shipping stock market. Based on correlation networks during three time periods, that prior to the financial crisis, during the crisis, and after the crisis, minimal spanning trees (MSTs) and hierarchical trees (HTs) both exhibit complex dynamics, i.e., different market sectors tend to be more closely linked during financial crisis. Brownian distance correlation and Granger causality test both can be used to explore the directional interconnectedness of market sectors, while Brownian distance correlation captures more dependent relationships, which are not observed in the Granger causality test. These two measures can also identify and quantify market regression periods, implying that they contain predictive power for the current crisis.