Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/18:00495171

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA16-14179S" target="_blank" >GA16-14179S: Nové míry závislostí ekonomických proměnných</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Financial Econometrics

ISSN

1479-8409

e-ISSN

—

Svazek periodika

16

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

26

Strana od-do

271-296

Kód UT WoS článku

000430717500005

EID výsledku v databázi Scopus

2-s2.0-85047926946