SSJDAセミナー（2026年11月24日（火）開催） "Connectedness, Response Loading, and Network Resilience under Financial Uncertainty″

Date & Time

2026年11月24日（火）15:00～16:00

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.

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