This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank …

development of bankruptcies across US states depends crucially on past bank failures suggesting that contagion provides an …

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide … natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance … decompositions define weighted, directed networks, so that our connectedness measures are intimately-related to key measures of …

This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990 … autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return …

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 …

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 …

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 …

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 …