Počet záznamů: 1  

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk

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    0495171 - ÚTIA 2019 RIV GB eng J - Článek v odborném periodiku
    Baruník, Jozef - Křehlík, Tomáš
    Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.
    Journal of Financial Econometrics. Roč. 16, č. 2 (2018), s. 271-296. ISSN 1479-8409. E-ISSN 1479-8417
    Grant CEP: GA ČR(CZ) GA16-14179S
    Institucionální podpora: RVO:67985556
    Klíčová slova: connectedness * frequency * spectral analysis * systemic risk
    Obor OECD: Applied Economics, Econometrics
    Impakt faktor: 1.902, rok: 2018
    http://library.utia.cas.cz/separaty/2018/E/barunik-0495171.pdf

    We propose a new framework for measuring connectedness among financial variables that arise due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an empirical application, we document the rich time-frequency dynamics of volatility connectedness in U.S. financial institutions. Economically, periods in which connectedness is created at high frequencies are periods when stock markets seem to process information rapidly and calmly, and a shock to one asset in the system will have an impact mainly in the short term. When the connectedness is created at lower frequencies, it suggests that shocks are persistent and are being transmitted for longer periods.
    Trvalý link: http://hdl.handle.net/11104/0288956

     
     
Počet záznamů: 1  

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