The SSJDA Seminar [November 24, 2026] "Connectedness, Response Loading, and Network Resilience under Financial Uncertainty″
- Date & Time
- November 24(Tue), 2026, 15:00～16:00（JST）
- Title
- Connectedness, Response Loading, and Network Resilience under Financial Uncertainty
- Speaker
- Hiroto Imai* and Etsusaku Shimada(Iwate Prefectural University) *Main presenter
- Discussant
- Keisuke Kawata (The University of Tokyo)
- Venue/Tool
- Online (Zoom)
- Language
- English and Japanese
- Abstract
-
This study examines whether greater financial connectedness necessarily implies greater network fragility. Using Fama-French 49 industry returns, we develop an auditable state-conditioned diagnostic in which resilience depends jointly on network topology and model-implied response loading. A fixed recent benchmark establishes internal coherence, while a recovered January 1990-March 2021 panel supports Low- and High-VIX comparisons with 2,000 moving-block-bootstrap replications. High-VIX states exhibit substantially denser industry-return networks, yet state-specific loadings yield a larger stability margin, a higher model-implied local boundary, and a smaller diffuse cumulative response. Exploratory fixed-loading and market-factor-residual counterfactuals show that this density-fragility reversal reflects offsetting topology and loading channels. Rolling associations with subsequent volatility, industry dispersion, and drawdown magnitude are specification-sensitive, limiting a forecasting interpretation. More broadly, the analysis highlights how network structure and the allocation of common responses should be considered jointly when evaluating resilience, and provides a basis for extending the framework to computational environments involving common algorithmic signals.
- Registration
-
Please register with this link
※Registration Deadline: Friday, November 20, 2026
If the registration link doesn't work, please contact us at seminarcsrda[at]iss.u-tokyo.ac.jp
※Please replace [at] with @
We collect personal information to provide you with information about our seminar. We will not disclose personal information to third parties except where it is legally obligated to do so.