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Published: 02 April 2015

288 Pages


ISBN: 9780199338290

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Financial and Macroeconomic Connectedness

A Network Approach to Measurement and Monitoring

Francis X. Diebold and Kamil Yilmaz

  • 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