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. ISSN 0034-6535, 1530-9142

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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
Uncontrolled Keywords: 38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services
Depositing User: Symplectic Admin
Date Deposited: 31 Oct 2022 15:12
Last Modified: 07 Dec 2024 21:13
DOI: 10.1162/rest_a_01003
Open Access URL: http://eprints.lse.ac.uk/108199/
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3165893
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