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Book Description PAP. Condition: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9780199338306
Book Description Paperback or Softback. Condition: New. Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring 0.9. Book. Seller Inventory # BBS-9780199338306
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Book Description Paperback. Condition: new. Paperback. 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 measuresof connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion ofvariance 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 relatedto 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 andvolatility 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 weresubject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authorsshow 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. In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780199338306
Book Description PAP. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9780199338306