- Published
- 2022-02-15
- Venue
- Management Science, vol. 68, no. 4, pp. 2401-2431
- Cited by
- 825
- Open access
- No free copy found
- DOI
- 10.1287/mnsc.2021.3984
Abstract
We develop a new technique to estimate vector autoregressions with a common factor error structure by quantile regression. We apply our technique to study credit risk spillovers among a group of 17 sovereigns and their respective financial sectors between January 2006 and December 2017. We show that idiosyncratic credit risk shocks propagate much more strongly in both tails than at the conditional mean or median. Furthermore, we develop a measure of the relative spillover intensity in the right and left tails of the conditional distribution that provides a timely aggregate measure of systemic financial fragility and that can be used for risk management and monitoring purposes. This paper was accepted by Gustavo Manso, finance.
Cite this paper
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- APA 7
Ando, T., Greenwood‐Nimmo, M., & Shin, Y. (2022). Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks. Management Science, 68(4), 2401–2431. https://doi.org/10.1287/mnsc.2021.3984
- MLA 9
Ando, Tomohiro, et al. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks." Management Science, vol. 68, no. 4, 2022, pp. 2401–2431, https://doi.org/10.1287/mnsc.2021.3984.
- Chicago
Ando, Tomohiro, Matthew Greenwood‐Nimmo, and Yongcheol Shin. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks." Management Science 68, no. 4 (2022): 2401–2431. https://doi.org/10.1287/mnsc.2021.3984.
- GOST
Ando T., Greenwood‐Nimmo M., Shin Y. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks // Management Science. — 2022. — Vol. 68, № 4. — P. 2401–2431. — URL: https://doi.org/10.1287/mnsc.2021.3984
- BibTeX
@article{ando2022quantile, title = {{Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks}}, author = {Tomohiro Ando and Matthew Greenwood‐Nimmo and Yongcheol Shin}, journal = {Management Science}, year = {2022}, volume = {68}, number = {4}, pages = {2401--2431}, doi = {10.1287/mnsc.2021.3984}, url = {https://doi.org/10.1287/mnsc.2021.3984} }- RIS
TY - JOUR AU - Ando, Tomohiro AU - Greenwood‐Nimmo, Matthew AU - Shin, Yongcheol TI - Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks JO - Management Science VL - 68 IS - 4 SP - 2401 EP - 2431 PY - 2022 DA - 2022/02/15 DO - 10.1287/mnsc.2021.3984 UR - https://doi.org/10.1287/mnsc.2021.3984 ER -