Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis

Matthew Greenwood-Nimmo, Evžen Kočenda and Viet Hoang Nguyen

No 10668, CESifo Working Paper Series from CESifo

Abstract: The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158–171) is widely used to measure connectedness in economics and finance. Abrupt increases in the spillover index are thought to result from major economic and financial events, but formal evidence of this relationship is scarce. We develop a bootstrap-based technique to evaluate the probability that the value of the spillover index changes following an exogenously defined event. We revisit the original dataset from Diebold and Yilmaz and obtain qualified support for their finding that the spillover index increases in a timely manner in the wake of the adverse shocks.

Keywords: spillover index; adverse shocks; influential events; bootstrap-after-bootstrap procedure (search for similar items in EconPapers)
JEL-codes: C32 C58 G15 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-ger
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Detecting statistically significant changes in connectedness: A bootstrap-based technique (2024)
Working Paper: Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique (2024)
Working Paper: Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis (2021)
Working Paper: Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_10668

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