Asymmetric network connectedness of fears
Baruník, J., Bevilacqua, M. & Tunaru, R.
(2022).
Asymmetric network connectedness of fears.
Review of Economics and Statistics,
104(6), 1304 - 1316.
https://doi.org/10.1162/rest_a_01003
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 |
|---|---|
| Copyright holders | © 2020 The President and Fellows of Harvard College and the Massachusetts Institute of Technology |
| Departments | LSE > Research Centres > Financial Markets Group > Systemic Risk Centre |
| DOI | 10.1162/rest_a_01003 |
| Date Deposited | 07 Jan 2021 |
| Acceptance Date | 04 Nov 2020 |
| URI | https://researchonline.lse.ac.uk/id/eprint/108199 |
Explore Further
- https://www.scopus.com/pages/publications/85141848909 (Scopus publication)
- https://www.mitpressjournals.org/loi/rest (Official URL)
- Bevilacqua, M., Barunik, J. & Tunaru, R. (2020). Replication Data for: Asymmetric Network Connectedness of Fears. [Dataset]. Harvard Dataverse. https://doi.org/10.7910/dvn/gsxaww