Financial and Macroeconomic Connectedness

Financial and Macroeconomic Connectedness

Francis X. Diebold, Kamil Yılmaz

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• Offers a new approach to the study of financial and macroeconomic connectedness using simple time series techniques to obtain static and dynamic measures of financial and macroeconomic connectedness
• Proposes a new framework that can be used to uncover and analyze underlying network formation by using daily data on asset returns and their volatilities to study how shocks spread among a group of assets and markets in time
• Examines the measurement of connectedness among financial markets and/or financial institutions on a global scale, which has been a concern of policy-makers since the global financial crisis in 2008

Yılı: 2015
Yayınevi: Oxford University Press
ISBN: 9780199338306
Genişlik: 15,5
Yükseklik: 23,5
Sayfa Sayısı: 288

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