Asymmetric Network Connectedness of Fears

Barunik, Jozef, Bevilacqua, Mattia ORCID: 0000-0003-3856-2001 and Tunaru, Radu (2022) Asymmetric Network Connectedness of Fears. REVIEW OF ECONOMICS AND STATISTICS, 104 (6). pp. 1304-1316.

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Official URL: http://dx.doi.org/10.1162/rest_a_01003

Abstract

<jats:title>Abstract</jats:title> <jats:p>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.</jats:p>

Item Type:	Article
Depositing User:	Symplectic Admin
Date Deposited:	31 Oct 2022 15:12
Last Modified:	18 Jan 2023 19:48
DOI:	10.1162/rest_a_01003
Open Access URL:	http://eprints.lse.ac.uk/108199/
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3165893