Asymmetric Network Connectedness of Fears

0533568 - ÚTIA 2023 RIV US eng J - Článek v odborném periodiku
Baruník, Jozef - Bevilacqua, M. - Tunaru, R.
Asymmetric Network Connectedness of Fears.
Review of Economics and Statistics. Roč. 104, č. 6 (2022), s. 1304-1316. ISSN 0034-6535. E-ISSN 1530-9142
Grant CEP: GA ČR(CZ) GX19-28231X
Institucionální podpora: RVO:67985556
Klíčová slova: Implied Volatility * Asymmetric Connectedness * U.S. Financial Sector
Obor OECD: Applied Economics, Econometrics
Impakt faktor: 8, rok: 2022
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2020/E/barunik-0533568.pdf https://direct.mit.edu/rest/article-abstract/104/6/1304/97705/Asymmetric-Network-Connectedness-of-Fears?redirectedFrom=fulltext

This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put traded option prices of the main U.S. banks contains valuable information for predicting macroeconomic conditions and economic uncertainty, and it can serve as a tool for forward-looking systemic risk monitoring.
Trvalý link: http://hdl.handle.net/11104/0311937