Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/282356 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
CESifo Working Paper No. 10668
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158–171) is widely used to measure connectedness in economics and finance. Abrupt increases in the spillover index are thought to result from major economic and financial events, but formal evidence of this relationship is scarce. We develop a bootstrap-based technique to evaluate the probability that the value of the spillover index changes following an exogenously defined event. We revisit the original dataset from Diebold and Yilmaz and obtain qualified support for their finding that the spillover index increases in a timely manner in the wake of the adverse shocks.
Schlagwörter: 
spillover index
adverse shocks
influential events
bootstrap-after-bootstrap procedure
JEL: 
C32
C58
G15
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.