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Financial and Macroeconomic Connectedness – A Network Approach to Measurement and Monitoring | Oxford Scholarship Online
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Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring

Francis X. Diebold and Kamil Yilmaz

Abstract

This book proposes a simple framework based on variance decompositions from approximating vector autoregressions to define, measure and monitor network connectedness, and applies its methods in financial and macroeconomic contexts. In financial markets, for example, there is focus on connections among different assets, asset classes, or portfolios, as well as the stocks of individual institutions, and the objects connected are typically returns or return volatilities. Similarly, in macroeconomics the book discusses cross-country real output connections (that is, the global business cycle). On ... More

Keywords: systemic risk, connectedness, networks, financial assets, financial markets, vector autoregression, variance decomposition, business cycles

Bibliographic Information

Print publication date: 2015 Print ISBN-13: 9780199338290
Published to Oxford Scholarship Online: March 2015 DOI:10.1093/acprof:oso/9780199338290.001.0001

Authors

Affiliations are at time of print publication.

Francis X. Diebold, author
University of Pennsylvania

Kamil Yilmaz, author
Kog University