This paper provides an extensive case study of the Turkish automotive and the consumer electronics industries. Despite a macroeconomic environment that inhibits investment and growth, both industries have achieved remarkable output and productivity growth since the early 1990s. Although there...

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...

Using a connectedness-measurement technology fundamentally grounded in modern network theory, we measure real output connectedness for a set of six developed countries, 1962-2010. We show that global connectedness is sizable and time-varying over the business cycle, and we study the nature of...

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 article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover...

This paper aims to contribute to the extensive study of the World Bank Commission on Growth and Development by a case study of the Turkish automotive and the consumer electronics industries. Despite a macroeconomic environment that inhibits investment and growth, both industries have achieved...

Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad...

The objective of this study is to analyze how financial connectedness impacts equity markets and potentially raises the cost of equity for firms that are more dependent on the financial sector. We apply the Diebold and Yilmaz (2014) methodology to daily stock prices of the largest 40 U.S....