Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014

Francis Diebold and Kamil Yilmaz ()

Journal of Financial Econometrics, 2016, vol. 14, issue 1, 81-127

Abstract: We characterize equity return volatility connectedness in the network of major American and European financial institutions, 2004–2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007–2008 the direction of connectedness was clearly from the United States to Europe, but that connectedness became bidirectional starting in late 2008. Second, we find an unprecedented surge in directional connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating connectedness during the U.S. and the European crises.

Keywords: network connectedness; systemic risk; systemically important financial institutions; variance decomposition; vector autoregression (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (110)

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbv021 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani

More articles in Journal of Financial Econometrics from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().