MARC details
| 000 -LEADER |
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| fixed length control field |
03111cam a22003375a 4500 |
| 001 - CONTROL NUMBER |
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| control field |
18229809 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20161018130323.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
140717s2015 nyua frb 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2014025178 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780199338290 (alk. paper) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780199338306 (alk. paper) |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Transcribing agency |
DLC |
| Modifying agency |
EG-ScBUE |
| 042 ## - AUTHENTICATION CODE |
|---|
| Authentication code |
pcc |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Edition number |
22 |
| Classification number |
332.015195 |
| Item number |
DIE |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Diebold, Francis X., |
| Dates associated with a name |
1959- |
| 9 (RLIN) |
41558 |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Financial and macroeconomic connectedness : |
| Remainder of title |
a network approach to measurement and monitoring / |
| Statement of responsibility, etc |
Francis X. Diebold and Kamil Yilmaz. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
New York ; |
| -- |
Oxford : |
| Name of publisher, distributor, etc |
Oxford University Press, |
| Date of publication, distribution, etc |
2015. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xv, 265 p. : |
| Other physical details |
ill. ; |
| Dimensions |
24 cm. |
| 500 ## - GENERAL NOTE |
|---|
| General note |
Indexes : p. 241-265. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Bibliography : p. 233 -239. |
| 505 ## - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Measuring and monitoring financial and macroeconomic connectedness -- U.S. asset classes -- Major U.S. financial institutions -- Global stock markets -- Sovereign bond markets --<br/>Foreign exchange markets -- Assets across countries -- Global business cycles. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
"The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses"--The publisher. |
| 590 ## - LOCAL NOTE (RLIN) |
|---|
| Local note |
Wessam |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Econometric models. |
| Source of heading or term |
BUEsh |
| 9 (RLIN) |
3155 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Mathematical models. |
| Source of heading or term |
BUEsh |
| 9 (RLIN) |
22542 |
| 651 ## - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME |
|---|
| Source of heading or term |
BUEsh |
| 653 ## - INDEX TERM--UNCONTROLLED |
|---|
| Resource For college |
BAEPS, Business Administration |
| Arrived date list |
October2016 |
| 653 ## - INDEX TERM--UNCONTROLLED |
|---|
| Resource For college |
BAEPS, Economics |
| Arrived date list |
October2016 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Ylmaz, Kamil. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Edition |
22 |
| Call number prefix |
332.015195 DIE |
| 952 ## - LOCATION AND ITEM INFORMATION (KOHA) |
|---|
| -- |
2016-10-18 |