Before revision: We propose new measures to characterize dynamic network connections in large financial and economic systems. In doing so, our measures allow one to describe and understand causal network structures that evolve throughout timeand over horizons using variance decomposition matrices from time-varying parameter VAR (TVP VAR) models.
After revision: This paper identifies frequency-dependent network structures that evolve throughout timeand over horizons using variance decomposition matrices from time-varying parameter VAR (TVP VAR) models.