论文标题
财务联系和系统风险的持久性
Persistence in Financial Connectedness and Systemic Risk
论文作者
论文摘要
本文表征了由异质程度持久性的冲击产生的动态链接。使用频域技术，我们介绍了衡量暂时性和持续性质的平稳变化链接的度量。我们的方法使我们能够测试此类动态链接中的统计差异。我们记录了美国金融行业波动中的暂时性和持续联系的实质性差异，认为它们跟踪了异质的持续性系统风险来源，因此可以作为市场参与者的有用工具。
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. Our approach allows us to test for statistical differences in such dynamic links. We document substantial differences in transitory and persistent linkages among US financial industry volatilities, argue that they track heterogeneously persistent sources of systemic risk, and thus may serve as a useful tool for market participants.
