Original title: Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis
Authors: Greenwood-Nimmo, M. ; Kočenda, Evžen ; Nguyen, V. H.
Document type: Research reports
Year: 2021
Language: eng
Series: IES Working Papers, volume: 29/2021
Abstract: The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the spillover index are typically thought to result from systemic events, but evidence of the statistical significance of this relationship is largely absent from the literature. We develop a new bootstrap-based technique to evaluate the probability that the value of the spillover index changes over an arbitrary time period following an exogenously defined event. We apply our framework to the original dataset studied by Diebold and Yilmaz and obtain qualified support for the notion that the spillover index increases in a timely and statistically significant manner in the wake of systemic shocks.
Keywords: bootstrap-after-bootstrap procedure; Spillover index; systemic events

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2022/E/kocenda-0556326.pdf
Original record: http://hdl.handle.net/11104/0330839

Permalink: http://www.nusl.cz/ntk/nusl-508563


The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Reports > Research reports