Signed spillover effects building on historical decompositions

 

 

Speaker:Mardi Dungey, University of Tasmania

 

Abstract: The spillover effects of interconnectedness between financial assets is decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions  to  rearrange  information  from  a  VAR which includes sources, direction and signs of effects building on the unsigned forecast error variance decomposition approach of Diebold and Y1lmaz (2009).  A spillover index based on historical decompositions has simple asymptotic properties, permitting the derivation of analytical standard errors of the index and its components. We apply the methodology to a panel of CDS spreads of sovereigns and financial institutions for the period 2003-2013 and identify how these entities contribute to global systemic risk.

A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 11th September.

 

Time: 12.00 – 1.00 p.m.

Venue: University of Technology, Sydney

             Building 8
             Dr Chau Chak Wing Building

             14 - 28 Ultimo Road, Ultimo

 

 

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)