Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10375198" target="_blank" >RIV/00216208:11230/18:10375198 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/18:00495171
Result on the web
<a href="https://doi.org/10.1093/jjfinec/nby001" target="_blank" >https://doi.org/10.1093/jjfinec/nby001</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1093/jjfinec/nby001" target="_blank" >10.1093/jjfinec/nby001</a>
Alternative languages
Result language
angličtina
Original language name
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA16-14179S" target="_blank" >GA16-14179S: New measures of dependence between economic variables</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Financial Econometrics
ISSN
1479-8409
e-ISSN
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Volume of the periodical
16
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
26
Pages from-to
271-296
UT code for WoS article
000430717500005
EID of the result in the Scopus database
2-s2.0-85047926946