Change Detection in Causal Relationships and Measurement of Systemic Risk

基于格兰杰因果关系检验的金融机构之间相互联系的实证措施目前用于检测系统风险。然而，为了适当地实施这些测试，研究人员需要定义外部的平静和压力时期。该项目旨在开发一种新的程序来识别因果关系的变化和这些变化的时间。这种新方法有可能在实时识别金融市场新出现的动荡方面取得重大进展，并为发现系统性风险提供一种改进的方法。新的测试程序将使用欧洲、美国和澳大利亚的金融和非金融机构的数据来实施。

Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.