Asymmetric network connectedness of fears

Barunik, J., Bevilacqua, M. and Tunaru, R. (2022) Asymmetric network connectedness of fears. Review of Economics and Statistics, 104 (6). pp. 1304-1316. ISSN 0034-6535 doi: 10.1162/rest_a_01003

Abstract/Summary

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 un-certainty 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.

Item Type	Article
URI	https://reading-pure-test.eprints-hosting.org/id/eprint/118430
Identification Number/DOI	10.1162/rest_a_01003
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting Central Services
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