Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/230714 
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-003
Publisher: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Abstract: 
With option-implied volatility indices, we provide a new tool for event studies in a network setting and document systemic risk in the spillover networks across global financial markets. Network linkages are sufficiently asymmetric because the US stock and bond markets play as dominant volatility suppliers to other countries and markets. Shocks from the US generate systemic risk through intensifying volatility spillovers across countries and asset classes. The findings offer new evidence that asymmetric network linkages can lead to sizable aggregate fluctuations and thus potential systemic risk.
Subjects: 
Network
Option-implied Volatility
Spillover
Asymmetric linkage
Systemic risk
JEL: 
C00
Document Type: 
Working Paper

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