论文标题
在线性面板模型中估算沿多个网络的动态溢出效应
Estimating Dynamic Spillover Effects along Multiple Networks in a Linear Panel Model
论文作者
论文摘要
经济成果的溢出通常是在多个网络上产生的，而区分它们的独立作用在实证研究中很重要。例如，两个群体之间的溢出方向（例如两分图中链接的银行和工业部门）具有重要的经济影响，研究人员可能希望学习数据中支持哪个方向。为此，我们需要具有一种经验方法，该方法可以同时同时溢出。在本文中，我们开发了一个动态的线性面板模型和渐近推断，并使用大型$ n $和小$ t $，在其中两个方向通过多个网络容纳了两个方向。使用此处开发的方法，我们对工业部门的银行弱点和僵尸结构拥堵之间的溢出进行了实证研究，使用了2005年至2012年之间西班牙的企业银行匹配的数据。总体而言，我们发现银行和部门之间的两个方向都有积极的溢出。
Spillover of economic outcomes often arises over multiple networks, and distinguishing their separate roles is important in empirical research. For example, the direction of spillover between two groups (such as banks and industrial sectors linked in a bipartite graph) has important economic implications, and a researcher may want to learn which direction is supported in the data. For this, we need to have an empirical methodology that allows for both directions of spillover simultaneously. In this paper, we develop a dynamic linear panel model and asymptotic inference with large $n$ and small $T$, where both directions of spillover are accommodated through multiple networks. Using the methodology developed here, we perform an empirical study of spillovers between bank weakness and zombie-firm congestion in industrial sectors, using firm-bank matched data from Spain between 2005 and 2012. Overall, we find that there is positive spillover in both directions between banks and sectors.
