社会联系
系统性风险
经济
金融经济学
网络结构
金融市场
信息不对称
精算学
业务
微观经济学
金融危机
计算机科学
财务
宏观经济学
心理学
机器学习
心理治疗师
作者
Jozef Baruník,Mattia Bevilacqua,Radu Tunaru
摘要
Abstract This paper introduces forward-looking measures of the network connectedness of fears in the financial system arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put traded option prices of the main U.S. banks contains valuable information for predicting macroeconomic conditions and economic uncertainty, and it can serve as a tool for forward-looking systemic risk monitoring.
科研通智能强力驱动
Strongly Powered by AbleSci AI