COVID-19 and the Global Financial Crisis Financial Risk Connectedness: A Frequency Connectedness Methodology Approach

Abstract

This study analyzes systemic risk contagion among financial stress indexes developed by the Office of Financial Research for emerging and advanced countries by implementing the spectral VAR based Frequency Connectedness methodology in the 2000, January and 2020, March period. The total spillover index obtained by the Frequency Connectedness creates proper signs to prominent political/financial stress events in the analyzed period. Additionally, frequency connectedness network topologies for the 2007-09 Global Financial Crisis and the 2020 January-March periods are constructed to estimate dİrectional spillovers and, accordingly to compare two periods

Keywords

• Financial Contagion
• Frequency Connectedness
• Spectral VAR
• OFR FSI

COVID-19 ve Küresel Finansal Krizi Finansal Risk Bağlantılığı: Frekans Bağlantılığı Yöntemi Uygulaması

Abstract

Bu çalışma, Finansal Araştıma Ofisi (Office of Financial Research) tarafından gelişmiş ve gelişmekte olan ülkeler için oluşturulan finansal stres endeksleri arasındaki sistemik risk bağlantılığını spektral VAR modeline dayalı Frekans Bağlantılığı yöntemiyle 2000, Ocak ve 2020, Mart döneminde incelemektedir. Frekans Bağlantılığı yöntemiyle oluşturulan toplam yayılma endeksi incelenen dönemdeki bilinen politik/finansal stres olaylarina etkili bir şekilde tepki vermektedir. Ek olarak, 2007-09 Küresel Finansal Krizi ve 2020 Ocak-Mart dönemlerinde yönlü yayılımları tahmin etmek ve sonuç olarak iki dönemi karşılaştırmak için frekans bağlantılığı ağ topolojileri elde edilmiştir

Keywords

• Finansal Bulaşıcılık
• Frekans Bağlantılığı
• Spektral VAR
• OFR FSI

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