We use LASSO methods to shrink, select and estimate the high-dimensional network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window...

This paper applies the Diebold-Yilmaz connectedness methodology on sovereign credit default swaps (SCDSs) to estimate the global network structure of sovereign credit risk. The level of credit risk connectedness among sovereigns, which is quite high, is comparable to the connected- ness among...

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation. Statistically,...

This paper investigates the relationship between input-output networks and the transmission of inflation shocks across manufacturing industries in South Korea, an economy that is open to external shocks. Using the dynamic inflation connectedness measures for 1971-2020, we show that production...

We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from...

We use LASSO methods to shrink, select and estimate the high-dimensional network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window...

We obtain measures of demand and supply shock spillovers across the U.S. manufacturing industries using monthly data on industrial production (1976-2022) and producer prices (1947-2022). Analyzing the spillovers/connectedness measures and the input-output linkages, we find strong evidence that...