000			03111cam a22003375a 4500
001			18229809
005			20161018130323.0
008			140717s2015 nyua frb 001 0 eng d
010			_a 2014025178
020			_a9780199338290 (alk. paper)
020			_a9780199338306 (alk. paper)
040			_aDLC _beng _cDLC _dEG-ScBUE
042			_apcc
082	0	4	_222 _a332.015195 _bDIE
100	1		_aDiebold, Francis X.,‏ ‎ _d1959-‏ _941558
245	1	0	_aFinancial and macroeconomic connectedness : _ba network approach to measurement and monitoring / _cFrancis X. Diebold and Kamil Yilmaz.
260			_aNew York ; _aOxford : _bOxford University Press, _c2015.
300			_axv, 265 p. : _bill. ; _c24 cm.
500			_aIndexes : p. 241-265.
504			_aBibliography : p. 233 -239.
505			_aMeasuring and monitoring financial and macroeconomic connectedness -- U.S. asset classes -- Major U.S. financial institutions -- Global stock markets -- Sovereign bond markets -- Foreign exchange markets -- Assets across countries -- Global business cycles.
520			_a"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			_aWessam
650		7	_aFinance _xEconometric models. _2BUEsh _93155
650		7	_aFinance _xMathematical models. _2BUEsh _922542
651			_2BUEsh
653			_bBUSADM _cOctober2016
653			_bBUSECO _cOctober2016
700	1		_aYlmaz, Kamil.
942			_2ddc _e22 _k332.015195 DIE
999			_c22676 _d22648