The joint spillover index

被引：118

作者：

Lastrapes, William D. ^{[1
]}

Wiesen, Thomas F. P. ^{[2
]}

机构：

[1] Univ Georgia, Terry Coll Business, Dept Econ, Athens, GA 30602 USA

[2] Univ Maine, Sch Econ, 5782 Winslow Hall, Orono, ME 04469 USA

来源：

ECONOMIC MODELLING | 2021年 / 94卷

关键词：

Connectedness; Industry sectors; Market integration; Variance decomposition;

D O I：

10.1016/j.econmod.2020.02.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose an alternative measure of system-wide connectedness to the popular generalized spillover index, based on generalized forecast error variance decompositions, of Diebold and Yilmaz (2012, 2014). Our measure relies on joint conditional forecasts to decompose variance, as opposed to the popular method's reliance on single-variable conditioning sets, and is a more precise measure of aggregate spillovers. We show in an application to US industry sector stock returns that the difference between the two measures can be substantial.

引用

页码：681 / 691

页数：11

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