Asymmetric Network Connectedness of Fears

Jozef Baruník, Mattia Bevilacqua and Radu Tunaru
Additional contact information
Mattia Bevilacqua: London School of Economics
Radu Tunaru: University of Sussex

The Review of Economics and Statistics, 2022, vol. 104, issue 6, 1304-1316

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.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://doi.org/10.1162/rest_a_01003
Access to PDF is restricted to subscribers.

Related works:
Working Paper: Asymmetric network connectedness of fears (2022)
Working Paper: Asymmetric Network Connectedness of Fears (2020)
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:tpr:restat:v:104:y:2022:i:6:p:1304-1316

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().