0556326 20250526112424.020220405235959.9 Praha Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague 2021 43 s. E IES Working Papers 29/2021 Spillover index systemic events bootstrap-after-bootstrap procedure cav_un_auth*0428398 Greenwood-Nimmo M. AU cav_un_auth*0312139 Kočenda Evžen UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0428399 Nguyen V. H. AU http://library.utia.cas.cz/separaty/2022/E/kocenda-0556326.pdf The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the spillover index are typically thought to result from systemic events, but evidence of the statistical significance of this relationship is largely absent from the literature. We develop a new bootstrap-based technique to evaluate the probability that the value of the spillover index changes over an arbitrary time period following an exogenously defined event. We apply our framework to the original dataset studied by Diebold and Yilmaz and obtain qualified support for the notion that the spillover index increases in a timely and statistically significant manner in the wake of systemic shocks. AH 50000 50200 50202 2023 3 4 O 4o 20250526112424.0 RVO:67985556 http://hdl.handle.net/11104/0330839 S 2021 Soubory v repozitáři: 0556326.pdf 2021 Praha Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague