Persistence in Financial Connectedness and Systemic Risk

• Tác giả: Jozef Barunik, Michael Ellington
• Ngôn ngữ: eng
• Ký hiệu phân loại: 658.1 Organization and finance
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 164857

Tóm tắt

Comment: arXiv admin note: text overlap with arXiv:2006.04639This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature. Our approach allows us to test for statistical differences in such dynamic links. We document substantial differences in transitory and persistent linkages among US financial industry volatilities, argue that they track heterogeneously persistent sources of systemic risk, and thus may serve as a useful tool for market participants.