Institute of Information Theory and Automation

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Bibliography

Journal Article

Asymmetric Network Connectedness of Fears

Baruník Jozef, Bevilacqua M., Tunaru R.

: Review of Economics and Statistics vol.104, 6 (2022), p. 1304-1316

: GX19-28231X, GA ČR

: Implied Volatility, Asymmetric Connectedness, U.S. Financial Sector

: 10.1162/rest_a_01003

: http://library.utia.cas.cz/separaty/2020/E/barunik-0533568.pdf

: https://direct.mit.edu/rest/article-abstract/104/6/1304/97705/Asymmetric-Network-Connectedness-of-Fears?redirectedFrom=fulltext

(eng): 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.

: AH

: 50202

2019-01-07 08:39