150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank … location, not bank assets. Dynamically, we find that global banking connectedness displays both secular and cyclical variation …

This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN …) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from …

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance …, system-wide connectedness averages out the information embedded in the covariance matrix in aggregating pairwise directional …

volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of … Diebold and Yilmaz (2014) (DYCI). We show that the connectedness index from the TVP-VAR model captures abrupt turning points …

, leading to different growth trajectories of Covid-19 cases and their connectedness across the U.S. states. Our regression … response to the pandemic. Moving to the analysis of spillovers/connectedness of Covid-19 cases across the states, we apply the … Diebold-Yilmaz connectedness methodology to the growth rates of Covid-19 cases. Using the total directional connectedness …

We analyze connectedness between the real and financial sectors of the U.S. economy. Using the weekly ADS index of the … distress and/or business cycle turning points the direction of connectedness runs from the real sector to financial markets … might not be the best representative of the real activity to be used in the connectedness analysis. As an alternative, we …

2018 using the Diebold-Yilmaz Connectedness Index framework, which fully utilizes the information in generalized variance … decompositions from vector autoregressions. The results show that the system-wide connectedness of the input-output network Granger …-causes the producer price inflation connectedness across industries. The input-output network and the inflation connectedness …