Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk

摘要: We propose a new framework for measuring connectedness among financial variables that arise due to heterogeneous frequency responses shocks. To estimate in short-, medium-, and long-term cycles, we introduce based on the spectral representation of variance decompositions. In an empirical application, document rich time-frequency dynamics volatility U.S. institutions. Economically, periods which is created at high frequencies are when stock markets seem process information rapidly calmly, shock one asset system will have impact mainly short term. When lower frequencies, it suggests shocks persistent being transmitted longer periods.