相关论文: Monetary Policies on Green Financial Markets: Evid…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
Growing awareness of the impact of business activity on the environment increases the pressure on governing bodies to address this issue. One possibility is to encourage or force the market into green behaviours. However, it is often hard…
Over the last two decades, financial systems have been studied and analysed from the perspective of complex networks, where the nodes and edges in the network represent the various financial components and the strengths of correlations…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
With escalating macroeconomic uncertainty, the risk interlinkages between energy and food markets have become increasingly complex, posing serious challenges to global energy and food security. This paper proposes an integrated framework…
In this perspective, we introduce recent research into the structure and function of complex investor networks supporting sustainability efforts. Using the case of solar, wind and hydro energy technologies, this perspective explores the…
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance decompositions and their spectral representation in combination…
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…
The study examines the return connectedness between climate policy uncertainty (CPU), clean energy, fossil energy, and food markets. Using the time-domain method of Diebold and Yilmaz (2012) and frequency-domain methods of Barun{\'{i}}k and…
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
Economic interdependencies have become increasingly present in globalized production, financial and trade systems. While establishing interdependencies among economic agents is crucial for the production of complex products, they may also…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
The rapid growth of sustainable investing, now exceeding 35 trillion USD globally, has transformed financial markets, yet the implications for monetary policy transmission remain underexplored. While existing literature documents…