Asymmetric Network Connectedness of Fears

0533568 - ÚTIA 2023 RIV US eng J - Journal Article
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
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : Implied Volatility * Asymmetric Connectedness * U.S. Financial Sector
OECD category: Applied Economics, Econometrics
Impact factor: 8, year: 2022
Method of publishing: Limited access
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.
Permanent Link: http://hdl.handle.net/11104/0311937