Persistence in financial connectedness and systemic risk

Baruník, Jozef ORCID: 0000-0001-5097-2607 and Ellington, Michael ORCID: 0000-0003-0264-7572 (2024) Persistence in financial connectedness and systemic risk. European Journal of Operational Research, 314 (1). pp. 393-407.

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Abstract

This paper characterizes dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature. Our approach allows us to test for statistical differences in such dynamic links. We document substantial differences in transitory and persistent linkages among US financial industry volatilities, argue that they track heterogeneously persistent sources of systemic risk, and thus may serve as a useful tool for market participants.

Item Type:	Article
Uncontrolled Keywords:	Clinical Research
Divisions:	Faculty of Humanities and Social Sciences > School of Management
Depositing User:	Symplectic Admin
Date Deposited:	20 Nov 2023 15:28
Last Modified:	08 Apr 2024 02:36
DOI:	10.1016/j.ejor.2023.11.023
Open Access URL:	https://www.sciencedirect.com/science/article/pii/...
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3176902