Relation between regional uncertainty spillovers in the global banking system
Fabio Caccioli and
Papers from arXiv.org
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on vector autoregression (VAR) and forecast error variance decomposition (FEVD). We compute the total network connectedness for each of the three banking systems, which quantifies regional uncertainty. Results over rolling windows of 300 days during the period between 2005 and 2015 reveal changing uncertainty patterns which are similar across regions, with common peaks associated with identifiable exogenous events. Lead-lag relationships among changes of total network connectedness of the three systems, quantified by transfer entropy, reveal that uncertainties in the three regional systems are significantly causally related, with the North American system having the largest influence on EU and ASEAN.
New Economics Papers: this item is included in nep-cse and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1702.05944 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:1702.05944
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().