Financial and Macroeconomic Connectedness
A Network Approach to Measurement and Monitoring
Francis X. Diebold and Kamil Yilmaz
Reviews and Awards
"Diebold and Yilmaz's timely book develops powerful new network tools for understanding the inter-dependence of risks in large-scale financial systems. These tools shed important new light on past financial crises and will fill an important gap in the monitoring of systemic risk going forward." Peter Christoffersen, Professor of Finance, Rotman School of Management, University of Toronto.
"The aftermath of the Lehman bankruptcy revealed that economists lacked understanding of the linkages within the financial industry and across the different sectors of the economy. The book by Frank Diebold and Kamil Yilmaz has many fresh ideas and new tools to study this very important topic. It is a must-read for anybody interested in this burgeoning area of research." Eric Ghysels, Bernstein Distinguished Professor of Economics and Professor of Finance, University of North Carolina, Chapel Hill
"We live in a highly integrated world economy with much stronger cross-border connections today than any other time in history. We need to have a better grasp of these connections as they are now at the heart of everyday macroeconomics and finance. Diebold and Yilmaz provide a masterful framework that greatly enhances our understanding of these connections. They also open new research avenues by showing practical applications of their framework in different contexts. And all of these make their book a classical reference on the topic." Ayhan Kose, Director, Development Prospects Group, The World Bank
"To increase understanding of the origins and spread of global economic disturbances, Diebold and Yilmaz begin this book with an introductory chapter describing their methodology for measuring connectedness among a wide assortment of micro- and macroeconomic variables and comparing their findings to the works of other researchers. Recommended." -- CHOICE