Measuring the frequency dynamics of financial connectedness and systemic risk

@inproceedings{Barunk2015MeasuringTF,
  title={Measuring the frequency dynamics of financial connectedness and systemic risk},
  author={Jozef Barun{\'i}k and Tomas Krehlik},
  year={2015}
}
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 framework based on the spectral representation of variance decompositions. In an empirical application, we document the rich time-frequency dynamics of volatility connectedness in US financial institutions. Economically, periods in which connectedness is… 

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