We construct a complete network of directional tail risk connectedness for 32 countries within a Least Absolute Shrinkage and Selection Operator (LASSO) Quantile Regression framework. In addition to highlighting the network’s essential features, including the key drivers and receivers of tail risk, we reveal some striking new network determinants. These include the predominant role of economy size, as well as the negative net impact of economic linkages such as trade and capital flows in addition to capital stocks on cross-country tail risk connectedness.

中文翻译：

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国际尾巴风险关联性：网络和决定因素

我们在最小绝对收缩和选择算子（LASSO）分位数回归框架内为32个国家/地区构建了定向的尾部风险连通性完整网络。除了强调网络的基本功能（包括尾部风险的主要驱动因素和接受者）之外，我们还揭示了一些引人注目的新网络决定因素。这些因素包括经济规模的主要作用，以及除资本存量以外的贸易和资本流动等经济联系对跨国尾巴风险联系的负面净影响。