  Spillover of economic outcomes often arises over multiple networks, and
distinguishing their separate roles is important in empirical research. For
example, the direction of spillover between two groups (such as banks and
industrial sectors linked in a bipartite graph) has important economic
implications, and a researcher may want to learn which direction is supported
in the data. For this, we need to have an empirical methodology that allows for
both directions of spillover simultaneously. In this paper, we develop a
dynamic linear panel model and asymptotic inference with large $n$ and small
$T$, where both directions of spillover are accommodated through multiple
networks. Using the methodology developed here, we perform an empirical study
of spillovers between bank weakness and zombie-firm congestion in industrial
sectors, using firm-bank matched data from Spain between 2005 and 2012.
Overall, we find that there is positive spillover in both directions between
banks and sectors.
