Motivated by recent developments in the bounded rationality and strategic complementarity literatures, the authors examine an intentionally simple and stylized aggregative economic model, when the assumptions of fully rational expectations and no strategic interactions are relaxed. They show...

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of "return spillovers" and "volatility spillovers". Our framework facilitates study of both non-crisis and crisis episodes,...