DOES THE SPILLOVER INDEX RESPOND SIGNIFICANTLY TO SYSTEMIC SHOCKS? A BOOTSTRAP-BASED PROBABILISTIC ANALYSIS
DOES THE SPILLOVER INDEX RESPOND SIGNIFICANTLY TO SYSTEMIC SHOCKS? A BOOTSTRAP-BASED PROBABILISTIC ANALYSIS
| Author: | prof. Ing. Evžen Kočenda Ph.D., DSc. Matthew Greenwood-Nimmo Viet Hoang Nguyen |
|---|---|
| Type: | IES Working Papers |
| Year: | 2021 |
| Number: | 29 |
| ISSN / ISBN: | |
| Published in: | IES Working Papers 29/2021 |
| Publishing place: | Prague |
| Keywords: | Spillover index; systemic events; bootstrap-after-bootstrap procedure |
| JEL codes: | C32; C58; G15 |
| Suggested Citation: | Greenwood-Nimmo M., Kočenda E. and Nguyen VH (2021): "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis" IES Working Papers 29/2021. IES FSV. Charles University. |
| 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 newbootstrap-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. |
| Downloadable: | wp_2021_29_greenwood-nimmo, kocenda, nguyen.pdf |
