On The Measurement Of Financial And Macroeconomic Connectedness
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Financial and Macroeconomic Connectedness
Author | : Francis X. Diebold |
Publisher | : Oxford University Press, USA |
Total Pages | : 285 |
Release | : 2015 |
Genre | : Business & Economics |
ISBN | : 0199338302 |
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In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions. The authors characterize connectedness across major asset markets and financial institutions within the U.S. and across countries since the late 1990s.
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