Systemic Risks, Random Matrices, and the Stability of Large Input-output Networks
2012/12/21
研討會日期 : 2012-12-21
時間 : 14:30
主講人 : Professor Guang-Zhen Sun
地點 : Conference Room B110
演講者簡介 : Guang-Zhen Sun received his Ph.D. in Economics from Monash University in 1999. He is currently serving as Associate Professor of Economics at University of Macau. His research field is in microeconomic theory, mathematical economics, political economy, social choice and public choice, applied microeconomics and history of ideas in economics.
演講摘要 : Partially in consequence of the 2008 financial crisis, and fuelled still further by the lackluster recovery ever since, systemic risks have recently come to the fore in the study of large and complex economic networks. Drawing upon the spectral theory of random matrices, we quantify the stability of large Leontief input-output systems when the shocks to which different sectors are exposed are correlated and when remarkable asymmetry is allowed in the roles played by the sectors in the input-output linkages. Our major finding is that such cross-sectoral risks and asymmetry render a much slower recovery of the whole system, once “off the track”, than when such systemic risks and asymmetry are absent and therefore the idiosyncratic shocks asymptotically average out.
