Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant ...
Read More
Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. 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.
Read Less
Add this copy of Financial and Macroeconomic Connectedness: A Network to cart. $56.87, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2015 by Oxford University Press.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Fine. Trade paperback (US). Glued binding. 288 p. Contains: Unspecified. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Financial and Macroeconomic Connectedness: a Network to cart. $56.88, good condition, Sold by Anybook rated 4.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2015 by Oxford University Press.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
This is an ex-library book and may have the usual library/used-book markings inside. This book has soft covers. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 500grams, ISBN: 9780199338306.
Add this copy of Financial and Macroeconomic Connectedness: A Network to cart. $61.63, new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2015 by Oxford University Press.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
New. Trade paperback (US). Glued binding. 288 p. Contains: Unspecified. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Financial and Macroeconomic Connectedness: A Network to cart. $61.64, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2015 by Oxford University Press.
Add this copy of Financial and Macroeconomic Connectedness to cart. $65.61, new condition, Sold by Paperbackshop rated 4.0 out of 5 stars, ships from Bensenville, IL, UNITED STATES, published 2015 by Oxford University Press.
