Granger causality and systemic risk

Building on the concept of Granger causality in risk in Hong et al. (2009), and focusing on an international sample of large-capitalization banks, we test for predictability in comovements in the left tails of returns of individual banks and the global system. The main results show that large individual shocks (defined as balance-sheet contractions exceeding the 1% VaR level) are a strong predictor of subsequent shocks in the global system. This evidence is particularly strong for US banks with large desks of proprietary trading. Similarly, we document strong evidence of financial vulnerabilities (exposures) to systemic shocks in US subprime creditors.

Data analysis using circular causality in networks

Complex systems in causal relationships are known to be circular rather than linear; this means that a particular result is not produced by a single cause, but rather that both positive and negative feedback processes are involved. However, although interpreting systemic interrelationships requires a language formed by circles, this has only been developed at the diagram level, and not from an axiomatic point of view. The first difficulty encountered when analysing any complex system is that usually the only data available relate to the various variables, so the first objective was to transform these data into cause-and-effect relationships. Once this initial step was taken, our discrete chaos theory could be applied by finding the causal circles that will form part of the system attractor and allow their behavior to be interpreted. As an application of the technique presented, we analyzed the system associated with the transcription factors of inflammatory diseases.

A Sociocybernetics Data Analysis Using Causality in Tourism Networks

The aim of this paper is to propose a mathematical model to determine invariant sets, set covering, orbits and, in particular, attractors in the set of tourism variables. Analysis was carried out based on a pre-designed algorithm and applying our interpretation of chaos theory developed in the context of General Systems Theory. This article sets out the causal relationships associated with tourist flows in order to enable the formulation of appropriate strategies. Our results can be applied to numerous cases. For example, in the analysis of tourist flows, these findings can be used to determine whether the behaviour of certain groups affects that of other groups and to analyse tourist behaviour in terms of the most relevant variables. Unlike statistical analyses that merely provide information on current data, our method uses orbit analysis to forecast, if attractors are found, the behaviour of tourist variables in the immediate future.

Causal Maps and Indirect Influences Analysis in the Diagnosis of Second-Home Tourism Impacts

This paper proposes a method for diagnosing the impacts of second-home tourism and illustrates it for a Mediterranean Spanish destination. This method proposes the application of network analysis software to the analysis of causal maps in order to create a causal network model based on stakeholder-identified impacts. The main innovation is the analysis of indirect relations in causal maps for the identification of the most influential nodes in the model. The results show that the most influential nodes are of a political nature, which contradicts previous diagnoses identifying technical planning as the ultimate cause of problems.