03111cam a22003375a 4500 18229809 20161018130323.0 140717s2015 nyua frb 001 0 eng d 2014025178 9780199338290 (alk. paper) 9780199338306 (alk. paper) DLC eng DLC EG-ScBUE pcc 22 332.015195 DIE Diebold, Francis X.,‏ ‎ 1959-‏ 41558 Financial and macroeconomic connectedness : a network approach to measurement and monitoring / Francis X. Diebold and Kamil Yilmaz. New York ; Oxford : Oxford University Press, 2015. xv, 265 p. : ill. ; 24 cm. Indexes : p. 241-265. Bibliography : p. 233 -239. Measuring and monitoring financial and macroeconomic connectedness -- U.S. asset classes -- Major U.S. financial institutions -- Global stock markets -- Sovereign bond markets -- Foreign exchange markets -- Assets across countries -- Global business cycles. "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"--The publisher. Wessam Finance Econometric models. BUEsh 3155 Finance Mathematical models. BUEsh 22542 BUEsh BUSADM October2016 BUSECO October2016 Ylmaz, Kamil. ddc 22 332.015195 DIE 22676 22648 0 0 ddc 0 0 Academic MAIN MAIN 1ST 2016-10-18 Purchase 385.00 9154 0 332.015195 DIE 000033443 2025-07-15 00:00:00 481.00 BB