کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7347117 | 1476498 | 2018 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk aversion connectedness in five European countries
ترجمه فارسی عنوان
عدم وابستگی ریسک در پنج کشور اروپایی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper we compute an aggregate index of risk aversion and indices of vulnerability and the contribution to systemic risk aversion for five European countries. The variance risk premium proxies risk aversion. The contribution to the literature is twofold. First, this is the first study estimating not only the common component, but also indices of directional connectedness among variance risk premia. Second, it is the first to estimate the interconnections by means of a FIVAR model, in order to account for long memory. Our analysis indicates measures of total and directional connectedness unlike those that would be obtained with the use of a short memory VAR. These differences arise when the focus is on market turmoil periods and on forecast horizons of thirty days. Future research evaluating spillovers among long memory series can benefit from our results. Policy-makers should take these interconnections into account when adopting effective macroeconomic policies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 71, April 2018, Pages 68-79
Journal: Economic Modelling - Volume 71, April 2018, Pages 68-79
نویسندگان
Andrea Cipollini, Iolanda Lo Cascio, Silvia Muzzioli,