We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm’s Value-at-risk (VaR) on the system’s ...

While the discussion of Thailand and East Asian growth has been a controversy between capital accumulation and productivity stories, we analyze the general equilibrium interaction between productivity and investment in an intertemporal model. The model builds in endogenous productivity spillover effects influencing profitability and investment and produces long run growth effects of economic po...

Compatibility Investments in Duopoly With Demand Side Spillovers Under Different Degrees of Cooperation by Christian Wey This paper examines the effects of different degrees of cooperation on firms’ incentives to undertake interbrand compatibility investments ex post, which benefit the competitor indirectly via an increase of its mass market demand. We find that cooperation in compatibility inv...

Spillover of norepinephrine (NE) into plasma is used frequently as an index of NE release and therefore of sympathetic nerve activity. An important limitation of NE spillover is that it reflects not only release but also uptake processes that intervene before the transmitter reaches the circulation. To overcome this limitation, we developed a method for estimating NE release based on measuremen...

In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common factors. We account for interdependenci...

Eye-movements in reading exhibit frequency spillover effects: fixation durations on a word are affected by the frequency of the previous word. We explore the idea that this effect may be an emergent property of a computationally rational eyemovement strategy that is navigating a tradeoff between processing immediate perceptual input, and continued processing of past input based on memory. We pr...