Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247396 
Year of Publication: 
2021
Series/Report no.: 
IES Working Paper No. 29/2021
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
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.
Subjects: 
Spillover index
systemic events
bootstrap-after-bootstrap procedure
JEL: 
C32
C58
G15
Document Type: 
Working Paper

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