Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring

Diebold, Francis X.

ISBN 10: 0199338302 / ISBN 13: 9780199338306

Editore: Oxford University Press, 2015

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This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,500grams, ISBN:9780199338306.

Codice articolo 5775571

Dati bibliografici

• Titolo: Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring
• Editore: Oxford University Press
• Data di pubblicazione: 2015
• Lingua: Inglese
• ISBN 10: 0199338302
• ISBN 13: 9780199338306
• Rilegatura: Brossura
• Condizione: Good
• Peso: 500 grammi
• Cataloghi dei venditori:
  • Economics

Descrizione articolo

Riassunto

Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant.

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.

Informazioni sull?autore

Francis X. Diebold is Paul F. and Warren S. Miller Professor of Economics, and Professor of Finance and Statistics, at the University of Pennsylvania and its Wharton School. He has published widely in econometrics, forecasting, finance, and macroeconomics, and he has served on the editorial boards of leading journals including Econometrica, Review of Economics and Statistics, Journal of Business and Economic Statistics, Journal of Applied Econometrics, and International Economic Review.

Kamil Yilmaz holds PhD (1992) and MA (1990) degrees in Economics from the University of Maryland, College Park, and a BA degree in Economics from Bogaziçi University, Istanbul, Turkey (1987). He has been a faculty member at Koç University, Istanbul, Turkey, since 1994. He was a visiting professor at the University of Pennsylvania in 2003-2004 and 2010-2011 academic years. He is the recipient of the 2003 Turkish Academy of Sciences (TÜBA) Encouragement Award for Social Sciences; and a member of the American Economic Association, and the Econometric Society.