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Asymmetric network connectedness of fears

Baruník, Jozef, Bevilacqua, Mattia and Tunaru, Radu (2020) Asymmetric network connectedness of fears. Review of Economics and Statistics. 1 - 41. ISSN 0034-6535

[img] Text (AFC_Network_RESTAT_RR_final) - Accepted Version
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Identification Number: 10.1162/rest_a_01003

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
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 > HB Economic Theory
H Social Sciences > HA Statistics
Date Deposited: 07 Jan 2021 12:09
Last Modified: 13 Aug 2021 23:15
URI: http://eprints.lse.ac.uk/id/eprint/108199

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