Publication detail

Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis

Author(s): prof. Ing. Evžen Kočenda M.A., 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

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