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Asymmetric network connectedness of fears
journal contribution
posted on 2024-02-16, 13:46 authored by Jozef Barunik, Mattia Bevilacqua, Radu TunaruRadu TunaruThis 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.
History
Publication status
- Published
File Version
- Accepted version
Journal
Review of Economics and StatisticsISSN
0034-6535Publisher
MIT PressPublisher URL
External DOI
Issue
6Volume
104Page range
1304–1316Department affiliated with
- Accounting and Finance Publications
Institution
University of SussexFull text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2020-11-06First Open Access (FOA) Date
2020-11-06First Compliant Deposit (FCD) Date
2020-11-05Usage metrics
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