MultiNetMetrics is an individual Marie-Curie Fellowship funded by the European Commission under grant number 796902. The grant lasted from 2018 to 2020 and was developed at Vrije Universiteit Amsterdam.
MultiNetMetrics brings together researchers:
- Luca Rossini: Principal Investigator and previously post-doctoral at Vrije Universiteit Amsterdam
- Siem Jan Koopman: Professor of Econometrics at Vrije Universiteit Amsterdam as Co-Principal Investigator
- André Lucas: Professor of Financial Econometrics at Vrije Universiteit Amsterdam as Co-Principal Investigator
About the Project
The 2007-2009 global financial crisis and the 2010-2012 European sovereign debt crisis have started an important debate among economists on suitable economic tools for studying macroeconomic and financial crises. This has led to an interest in network theory in economics and finance. Network (or graph) theory has already been applied in many different fields such as physics, biology, information theory, machine learning, genetics and statistics. Only recently the topic has become more prominent in economics and econometrics.
In particular, network analysis contributes to a better understanding of complex systems of interconnected financial institutions and markets. It may help explain why and how financial and economic systems become inter-connected during particular episodes, and how risk propagates from one institution to the next, or from one sector of the economy to another (cascade effects). Network theory and its empirical implementation have therefore gained substantial popularity among policymakers.
The literature on financial and economic network analysis has thus far focused mainly exclusively on static, single-layer networks. Much less research has been carried out on the dynamic behaviour of networks, the possible linkages between different network layers, and the interconnection of these two. The MultiNetMetrics project fills this gap by developing novel econometric techniques to address both modeling challenges in a computationally feasible way. This will advance our understanding of how economic and financial risks build up and spread over time. The project has therefore two main research directions.