Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis

Matthew Greenwood-Nimmo, Evžen KoÄ Enda and Viet Hoang Nguyen
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Evžen KoÄ Enda: Institute of Economic Studies, Charles University
Authors registered in the RePEc Author Service: Evžen Kočenda

Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

Abstract: The spillover index introduced by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used in the analysis of financial market interlinkages. Abrupt increases in the spillover index are thought to be associated with systemic events but formal statistical support for this effect has yet to be provided. We develop a new bootstrap-based technique to evaluate the probability that the spillover index increases over an arbitrary time period following an exogenously defined event. Using the authors' original dataset, our results lend qualified support to the notion that the spillover index increases in a statistically significant manner in the wake of systemic shocks. To obtain a copy of this paper, please email the author.

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Pages: 4pp
Date: 2019-11
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Working Paper: Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique (2024)
Working Paper: Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis (2023)
Working Paper: Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis (2021)
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