Barunik, Jozef, Bevilacqua, Mattia and Tunaru, Radu (2020) Asymmetric network connectedness of fears. Review of Economics and Statistics. pp. 1-41. ISSN 0034-6535

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Abstract

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.

Item Type:	Article
Schools and Departments:	University of Sussex Business School > Accounting and Finance
SWORD Depositor:	Mx Elements Account
Depositing User:	Mx Elements Account
Date Deposited:	06 Nov 2020 08:20
Last Modified:	11 Mar 2021 19:06
URI:	http://sro.sussex.ac.uk/id/eprint/94812

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