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Financial and macroeconomic connectedness : a network approach to measurement and monitoring / Francis X. Diebold and Kamil Yilmaz.

By: Contributor(s): Material type: TextTextPublication details: New York ; Oxford : Oxford University Press, 2015.Description: xv, 265 p. : ill. ; 24 cmISBN:
  • 9780199338290 (alk. paper)
  • 9780199338306 (alk. paper)
Subject(s): DDC classification:
  • 22 332.015195 DIE
Contents:
Measuring and monitoring financial and macroeconomic connectedness -- U.S. asset classes -- Major U.S. financial institutions -- Global stock markets -- Sovereign bond markets -- Foreign exchange markets -- Assets across countries -- Global business cycles.
Summary: "The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses"--The publisher.
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Holdings
Item type Current library Collection Call number Vol info Status Date due Barcode Item holds
Book - Borrowing Book - Borrowing Central Library First floor Academic Bookshop 332.015195 DIE (Browse shelf(Opens below)) 9154 Available 000033443
Total holds: 0

Indexes : p. 241-265.

Bibliography : p. 233 -239.

Measuring and monitoring financial and macroeconomic connectedness -- U.S. asset classes -- Major U.S. financial institutions -- Global stock markets -- Sovereign bond markets --
Foreign exchange markets -- Assets across countries -- Global business cycles.

"The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses"--The publisher.

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