Detail publikace

Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis

Autor: prof. Ing. Evžen Kočenda M.A., Ph.D., DSc., Matthew Greenwood-Nimmo, Viet Hoang Nguyen
Typ: IES Working Papers
Rok: 2021
Číslo: 29
ISSN / ISBN:
Publikováno v: IES Working Papers 29/2021
Místo vydání: Prague
Klíčová slova: Spillover index; systemic events; bootstrap-after-bootstrap procedure
JEL kódy: C32; C58; G15
Citace: Greenwood-Nimmo M., Kočenda E. and Nguyen VH (2021): "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis" IES Working Papers 29/2021. IES FSV. Charles University.
Abstrakt: The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the spillover index are typically thought to result from systemic events, but evidence of the statistical significance of this relationship is largely absent from the literature. We develop a newbootstrap-based technique to evaluate the probability that the value of the spillover index changes over an arbitrary time period following an exogenously defined event. We apply our framework to the original dataset studied by Diebold and Yilmaz and obtain qualified support for the notion that the spillover index increases in a timely and statistically significant manner in the wake of systemic shocks.
Ke stažení: wp_2021_29_greenwood-nimmo, kocenda, nguyen

01

Prosinec

Prosinec 2021
poútstčtsone
  12345
6789101112
13141516171819
20212223242526
2728293031  

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance