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    Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks

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    Author
    Ando, T
    Date
    2021
    Source Title
    Management Science
    Publisher
    INFORMS
    University of Melbourne Author/s
    Ando, Tomohiro
    Affiliation
    Collected Works
    Metadata
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    Document Type
    Journal Article
    Citations
    Ando, T. (2021). Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks. Management Science, Forthcoming
    Access Status
    Open Access
    URI
    http://hdl.handle.net/11343/258634
    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.

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