bibtype V - Research Report
ARLID 0556326
utime 20230316104852.9
mtime 20220405235959.9
title (primary) (eng) Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis
publisher
place Praha
name Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague
pub_time 2021
specification
page_count 43 s.
media_type E
edition
name IES Working Papers
volume_id 29/2021
keyword Spillover index
keyword systemic events
keyword bootstrap-after-bootstrap procedure
author (primary)
ARLID cav_un_auth*0428398
name1 Greenwood-Nimmo
name2 M.
country AU
author
ARLID cav_un_auth*0312139
name1 Kočenda
name2 Evžen
institution UTIA-B
full_dept (cz) Ekonometrie
full_dept Department of Econometrics
department (cz) E
department E
full_dept Department of Econometrics
country CZ
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
author
ARLID cav_un_auth*0428399
name1 Nguyen
name2 V. H.
country AU
source
url http://library.utia.cas.cz/separaty/2022/E/kocenda-0556326.pdf
cas_special
abstract (eng) 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.
RIV AH
FORD0 50000
FORD1 50200
FORD2 50202
reportyear 2023
num_of_auth 3
inst_support RVO:67985556
permalink http://hdl.handle.net/11104/0330839
confidential S
arlyear 2021
mrcbU10 2021
mrcbU10 Praha Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague