Baruník, Jozef, Bevilacqua, Mattia and Tunaru, Radu (2022) Asymmetric network connectedness of fears. Review of Economics and Statistics, 104 (6). 1304 - 1316. ISSN 0034-6535
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Abstract
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put traded option prices of the main U.S. banks contains valuable information for predicting macroeconomic conditions and economic uncertainty, and it can serve as a tool for forward-looking systemic risk monitoring.
Item Type: | Article |
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Official URL: | https://www.mitpressjournals.org/loi/rest |
Additional Information: | © 2020 The President and Fellows of Harvard College and the Massachusetts Institute of Technology |
Divisions: | Systemic Risk Centre |
Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
Date Deposited: | 07 Jan 2021 12:09 |
Last Modified: | 16 Aug 2024 21:03 |
URI: | http://eprints.lse.ac.uk/id/eprint/108199 |
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