24 May 2017 at 12:00 PM - 1:30 PM
Room 404a, Campus on Viale Romania, 32
Vivek Sharma and Giuseppe Brandi, LUISS
Speaker: Vivek Sharma (LUISS)
Title: Fiscal volatility shocks, financial frictions and economic activity
Abstract: The public finances of US and several other industrialized countries have been dented by financial crises of the last decade. The public debt in many developed countries has grown unsustainable with large fiscal deficits and a consolidation at some point seems inevitable. There is, however, little consensus regarding mix and timing of fiscal instruments to be used for this purpose. This paper looks at how this heightened fiscal uncertainty interacts with financial frictions and impacts the macroeconomic aggregates.
Speaker: Giuseppe Brandi (LUISS)
Title:Tensor Decomposition for Financial Network Analysis
Abstract: Nowadays, networks represent a widely analysed topic in financial research. Networks’ topology is explored and measures of connectivness and centrality are extracted for each stock (node). The estimated network relies on the sample used to build it. Hence, by construction, it is conditioned on time horizon used and the sampling scheme will affect the results at any level of the network analysis, possibly leading to different conclusions. In this paper we propose a method which relies on tensor decomposition allowing to separate the structural part of the financial network, cleaned by time specific events, from its dynamic one. The first object can be used to assess systemic risk while the second one can be used in evaluating idiosyncratic (dynamic) risk.