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Francis X Diebold - One of the best experts on this subject based on the ideXlab platform.
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estimating global bank network Connectedness
Journal of Applied Econometrics, 2018Co-Authors: Mert Demirer, Francis X Diebold, Laura Liu, Kamil YilmazAbstract:Summary We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize static network Connectedness using full-sample estimation and dynamic network Connectedness using rolling-window estimation. Statically, we find that global bank equity Connectedness has a strong geographic component, whereas country sovereign bond Connectedness does not. Dynamically, we find that equity Connectedness increases during crises, with clear peaks during the Great Financial Crisis and each wave of the subsequent European Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages.
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trans atlantic equity volatility Connectedness u s and european financial institutions 2004 2014
Journal of Financial Econometrics, 2015Co-Authors: Francis X Diebold, Kamil YilmazAbstract:We characterize equity return volatility Connectedness in the network of major American and European financial institutions, 2004–2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007–2008 the direction of Connectedness was clearly from the United States to Europe, but that Connectedness became bidirectional starting in late 2008. Second, we find an unprecedented surge in directional Connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating Connectedness during the U.S. and the European crises.
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trans atlantic equity volatility Connectedness u s and european financial institutions 2004 2014
Social Science Research Network, 2015Co-Authors: Francis X Diebold, Kamil YilmazAbstract:We characterize equity return volatility Connectedness in the network of major American and European financial institutions, 2004-2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007-2008 the direction of Connectedness was clearly from the U.S. to Europe, but that Connectedness became bi-directional starting in late 2008. Second, we find an unprecedented surge in directional Connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating Connectedness during the U.S. and the European crises.
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estimating global bank network Connectedness
Research Papers in Economics, 2015Co-Authors: Mert Demirer, Francis X Diebold, Laura Liu, Kamil YilmazAbstract:We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network Connectedness using full-sample estimation and dynamic network Connectedness using rolling-window estimation. Statistically, we find that global banking Connectedness is clearly linked to bank location, not bank assets. Dynamically, we find that global banking Connectedness displays both secular and cyclical variation. The secular variation corresponds to gradual increases/decreases during episodes of gradual increases/decreases in global market integration. The cyclical variation corresponds to sharp increases during crises, involving mostly cross-country, as opposed to within-country, bank linkages.
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financial and macroeconomic Connectedness a network approach to measurement and monitoring
2015Co-Authors: Francis X Diebold, Kamil YilmazAbstract:Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring Connectedness, which is central to finance and macroeconomics. These measures of Connectedness are theoretically rigorous yet empirically relevant. The approach to Connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'Connectedness table.' The Connectedness table makes clear how one can begin with the most disaggregated pair-wise directional Connectedness measures and aggregate them in various ways to obtain total Connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed Connectedness measures are intimately related to key measures of Connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility Connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility Connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return Connectedness across stock markets increased gradually over time the volatility Connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial Connectedness, but also real fundamental Connectedness. In particular, the authors show that global business cycle Connectedness is economically significant and time-varying, that the U.S. has disproportionately high Connectedness to others, and that pairwise country Connectedness is inversely related to bilateral trade surpluses. Available in OSO:
Kamil Yilmaz - One of the best experts on this subject based on the ideXlab platform.
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estimating global bank network Connectedness
Journal of Applied Econometrics, 2018Co-Authors: Mert Demirer, Francis X Diebold, Laura Liu, Kamil YilmazAbstract:Summary We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize static network Connectedness using full-sample estimation and dynamic network Connectedness using rolling-window estimation. Statically, we find that global bank equity Connectedness has a strong geographic component, whereas country sovereign bond Connectedness does not. Dynamically, we find that equity Connectedness increases during crises, with clear peaks during the Great Financial Crisis and each wave of the subsequent European Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages.
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trans atlantic equity volatility Connectedness u s and european financial institutions 2004 2014
Journal of Financial Econometrics, 2015Co-Authors: Francis X Diebold, Kamil YilmazAbstract:We characterize equity return volatility Connectedness in the network of major American and European financial institutions, 2004–2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007–2008 the direction of Connectedness was clearly from the United States to Europe, but that Connectedness became bidirectional starting in late 2008. Second, we find an unprecedented surge in directional Connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating Connectedness during the U.S. and the European crises.
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trans atlantic equity volatility Connectedness u s and european financial institutions 2004 2014
Social Science Research Network, 2015Co-Authors: Francis X Diebold, Kamil YilmazAbstract:We characterize equity return volatility Connectedness in the network of major American and European financial institutions, 2004-2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007-2008 the direction of Connectedness was clearly from the U.S. to Europe, but that Connectedness became bi-directional starting in late 2008. Second, we find an unprecedented surge in directional Connectedness from European to U.S. financial institutions in June 2011, consistent with massive deterioration in the health of EU financial institutions. Third, we identify particular institutions that played disproportionately important roles in generating Connectedness during the U.S. and the European crises.
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estimating global bank network Connectedness
Research Papers in Economics, 2015Co-Authors: Mert Demirer, Francis X Diebold, Laura Liu, Kamil YilmazAbstract:We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network Connectedness using full-sample estimation and dynamic network Connectedness using rolling-window estimation. Statistically, we find that global banking Connectedness is clearly linked to bank location, not bank assets. Dynamically, we find that global banking Connectedness displays both secular and cyclical variation. The secular variation corresponds to gradual increases/decreases during episodes of gradual increases/decreases in global market integration. The cyclical variation corresponds to sharp increases during crises, involving mostly cross-country, as opposed to within-country, bank linkages.
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financial and macroeconomic Connectedness a network approach to measurement and monitoring
2015Co-Authors: Francis X Diebold, Kamil YilmazAbstract:Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring Connectedness, which is central to finance and macroeconomics. These measures of Connectedness are theoretically rigorous yet empirically relevant. The approach to Connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'Connectedness table.' The Connectedness table makes clear how one can begin with the most disaggregated pair-wise directional Connectedness measures and aggregate them in various ways to obtain total Connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed Connectedness measures are intimately related to key measures of Connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility Connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility Connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return Connectedness across stock markets increased gradually over time the volatility Connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial Connectedness, but also real fundamental Connectedness. In particular, the authors show that global business cycle Connectedness is economically significant and time-varying, that the U.S. has disproportionately high Connectedness to others, and that pairwise country Connectedness is inversely related to bilateral trade surpluses. Available in OSO:
Ian M Shochet - One of the best experts on this subject based on the ideXlab platform.
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pilot evaluation of an adolescent risk and injury prevention programme incorporating curriculum and school Connectedness components
Health Education Research, 2013Co-Authors: Rebekah L Chapman, Lisa Buckley, Mary C Sheehan, Ian M ShochetAbstract:School Connectedness is an important protective factor for adolescent risk-taking behaviour. This study examined a pilot version of the Skills for Preventing Injury in Youth (SPIY) programme, combining teacher professional development (PD) for increasing school Connectedness (Connectedness component) with a risk and injury prevention curriculum for early adolescents (curriculum component). A process evaluation was conducted on the Connectedness component, involving assessments of programme reach, participant receptiveness and initial use, and a preliminary impact evaluation was conducted on the combined Connectedness and curriculum programme. The Connectedness component was well received by teacher participants, who saw benefits for both themselves and their students. Classroom observation also showed that teachers who received PD made use of the programme strategies. Grade 8 students who participated in the SPIY programme were less likely to report violent behaviour at 6-month follow-up than were control students, and trends also suggested reduced transport injuries. The results of this research support the use of the combined SPIY Connectedness and curriculum components in a large-scale effectiveness trial to assess the impact of the programme on students' Connectedness, risk-taking and associated injuries.
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school based programs for increasing Connectedness and reducing risk behavior a systematic review
Centre for Accident Research & Road Safety - Qld (CARRS-Q); Faculty of Health; Institute of Health and Biomedical Innovation, 2013Co-Authors: Rebekah L Chapman, Lisa Buckley, Mary C Sheehan, Ian M ShochetAbstract:School Connectedness has a significant impact on adolescent outcomes, including reducing risk taking behavior. This paper critically examines the literature on school-based programs targeting increased Connectedness for reductions in risk taking. Fourteen articles describing seven different school-based programs were reviewed. Programs drew on a range of theories to increase school Connectedness, and evaluations conducted for the majority of programs demonstrated positive changes in school Connectedness, risk behavior, or a combination of the two. Many of the reviewed programs involved widespread school system change, however, which is frequently a complex and time consuming task. Future research is needed to examine the extent of intervention complexity required to result in change. This review also showed a lack of consistency in definitions and measurement of Connectedness as well as few mediation analyses testing assumptions of impact on risk taking behavior through increases in school Connectedness. Additionally, this review revealed very limited evaluation of the elements of multi-component programs that are most effective in increasing school Connectedness and reducing adolescent risk taking.
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school based programs for increasing Connectedness and reducing risk behavior a systematic review
Educational Psychology Review, 2013Co-Authors: Rebekah L Chapman, Lisa Buckley, Mary C Sheehan, Ian M ShochetAbstract:School Connectedness has a significant impact on adolescent outcomes, including reducing risk-taking behavior. This paper critically examines the literature on school-based programs targeting increased Connectedness for reductions in risk taking. Fourteen articles describing seven different school-based programs were reviewed. Programs drew on a range of theories to increase school Connectedness, and evaluations conducted for the majority of programs demonstrated positive changes in school Connectedness, risk behavior, or a combination of the two. Many of the reviewed programs involved widespread school system change, however, which is frequently a complex and time-consuming task. Future research is needed to examine the extent of intervention complexity required to result in change. This review also showed a lack of consistency in the definitions and measurement of Connectedness as well as few mediation analyses testing assumptions of impact on risk-taking behavior through increases in school Connectedness. Additionally, this review revealed very limited evaluation of the elements of multicomponent programs that are most effective in increasing school Connectedness and reducing adolescent risk taking.
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the role of social skills and school Connectedness in preadolescent depressive symptoms
Journal of Clinical Child and Adolescent Psychology, 2010Co-Authors: Anthony G Ross, Ian M Shochet, Rachael BellairAbstract:In the current study, we tested whether school Connectedness mediates more distal deficits in social skills in influencing depressive symptoms in a sample of 127 sixth- and seventh-grade students. Results demonstrated that school Connectedness and social skills accounted for 44% and 26% of variance in depressive symptoms respectively and 49% in a combined model. Although the full mediation model hypothesis was not supported, follow-up analyses revealed that school Connectedness partially mediated the link between social skills and preadolescent depressive symptoms. Thus, school Connectedness appears to play as strong a role in depressive symptoms in this younger preadolescent age group.
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school Connectedness is an underemphasized parameter in adolescent mental health results of a community prediction study
Journal of Clinical Child and Adolescent Psychology, 2006Co-Authors: Ian M Shochet, Mark R Dadds, David Ham, Roslyn MontagueAbstract:There is limited prospective research on the relation between school Connectedness (i.e., the extent to which students feel accepted, valued, respected, and included in the school) and mental health symptoms in adolescents. A sample of 2,022 students (999 boys and 1,023 girls) ages 12 to 14 years were measured at 2 time points (12 months apart) on school Connectedness and mental health symptoms (general functioning, depression, and anxiety symptoms). School Connectedness correlated extensively with concurrent mental health symptoms at both time points (between 38% and 55% covariation with depression, 26% to 46% with general functioning, and 9% and 16% for anxiety symptoms). Using hierarchical linear modeling, school Connectedness also predicted depressive symptoms 1 year later for both boys and girls, anxiety symptoms for girls, and general functioning for boys, even after controlling for prior symptoms. The reverse, however, was not true: Prior mental health symptoms did not predict school Connectedness 1 year later when controlling for prior school Connectedness. Results suggest a stronger than previously reported association with school Connectedness and adolescent depressive symptoms in particular and a predictive link from school Connectedness to future mental health problems.
George C Patton - One of the best experts on this subject based on the ideXlab platform.
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the influence of families on early adolescent school Connectedness evidence that this association varies with adolescent involvement in peer drinking networks
Journal of Abnormal Child Psychology, 2012Co-Authors: Adrian B Kelly, Ross Homel, Martin Oflaherty, John W Toumbourou, George C Patton, Angela White, Joanne WilliamsAbstract:School Connectedness is central to the long term well-being of adolescents, and high quality parent–child relationships facilitate school Connectedness. This study examined the extent to which family relationship quality is associated with the school Connectedness of pre- and early teenagers, and how this association varies with adolescent involvement in peer drinking networks. The sample consisted of 7,372 10–14 year olds recruited from 231 schools in 30 Australian communities. Participants completed the Communities that Care youth survey. A multi-level model of school Connectedness was used, with a random term for school-level variation. Key independent variables included family relationship quality, peer drinking networks, and school grade. Control variables included child gender, sensation seeking, depression, child alcohol use, parent education, and language spoken at home. For grade 6 students, the association of family relationship quality and school Connectedness was lower when peer drinking networks were present, and this effect was nonsignificant for older (grade 8) students. Post hoc analyses indicated that the effect for family relationship quality on school Connectedness was nonsignificant when adolescents in grade 6 reported that the majority of friends consumed alcohol. The results point to the importance of family-school partnerships in early intervention and prevention.
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social and school Connectedness in early secondary school as predictors of late teenage substance use mental health and academic outcomes
Journal of Adolescent Health, 2007Co-Authors: Lyndal Bond, Helen Butler, Lindsey A Thomas, John B Carlin, Saundra Glover, G Bowes, George C PattonAbstract:Abstract Purpose To examine associations between social relationships and school engagement in early secondary school and mental health, substance use, and educational achievement 2–4 years later. Methods School-based longitudinal study of secondary school students, surveyed at school in Year 8 (13–14-years-old) and Year 10 (16-years-old), and 1-year post-secondary school. A total of 2678 Year 8 students (74%) participated in the first wave of data collection. For the school-based surveys, attrition was Results Having both good school and social Connectedness in Year 8 was associated with the best outcomes in later years. In contrast, participants with low school Connectedness but good social Connectedness were at elevated risk of anxiety/depressive symptoms (odds ratio [OR]: 1.3; 95% confidence interval [CI]: 1.0, 1.76), regular smoking (OR: 2.0; 95% CI: 1.4, 2.9), drinking (OR: 1.7; 95% CI: 1.3, 2.2), and using marijuana (OR: 2.0; 95% CI: 1.6, 2.5) in later years. The likelihood of completing school was reduced for those with either poor social Connectedness, low school Connectedness, or both. Conclusions Overall, young people's experiences of early secondary school and their relationships with others may continue to affect their moods, their substance use in later years, and their likelihood of completing secondary school. Having both good school Connectedness and good social Connectedness is associated with the best outcomes. The challenge is how to promote both school and social Connectedness to best achieve these health and learning outcomes.
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social and school Connectedness in early secondary school as predictors of late teenage substance use mental health and academic outcomes
Journal of Adolescent Health, 2007Co-Authors: Lyndal Bond, Helen Butler, Lindsey A Thomas, John B Carlin, Saundra Glover, G Bowes, George C PattonAbstract:PURPOSE: To examine associations between social relationships and school engagement in early secondary school and mental health, substance use, and educational achievement 2-4 years later. METHODS: School-based longitudinal study of secondary school students, surveyed at school in Year 8 (13-14-years-old) and Year 10 (16-years-old), and 1-year post-secondary school. A total of 2678 Year 8 students (74%) participated in the first wave of data collection. For the school-based surveys, attrition was <10%. Seventy-one percent of the participating Year 8 students completed the post-secondary school survey. RESULTS: Having both good school and social Connectedness in Year 8 was associated with the best outcomes in later years. In contrast, participants with low school Connectedness but good social Connectedness were at elevated risk of anxiety/depressive symptoms (odds ratio [OR]: 1.3; 95% confidence interval [CI]: 1.0, 1.76), regular smoking (OR: 2.0; 95% CI: 1.4, 2.9), drinking (OR: 1.7; 95% CI: 1.3, 2.2), and using marijuana (OR: 2.0; 95% CI: 1.6, 2.5) in later years. The likelihood of completing school was reduced for those with either poor social Connectedness, low school Connectedness, or both. CONCLUSIONS: Overall, young people's experiences of early secondary school and their relationships with others may continue to affect their moods, their substance use in later years, and their likelihood of completing secondary school. Having both good school Connectedness and good social Connectedness is associated with the best outcomes. The challenge is how to promote both school and social Connectedness to best achieve these health and learning outcomes.
Lyndal Bond - One of the best experts on this subject based on the ideXlab platform.
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social and school Connectedness in early secondary school as predictors of late teenage substance use mental health and academic outcomes
Journal of Adolescent Health, 2007Co-Authors: Lyndal Bond, Helen Butler, Lindsey A Thomas, John B Carlin, Saundra Glover, G Bowes, George C PattonAbstract:Abstract Purpose To examine associations between social relationships and school engagement in early secondary school and mental health, substance use, and educational achievement 2–4 years later. Methods School-based longitudinal study of secondary school students, surveyed at school in Year 8 (13–14-years-old) and Year 10 (16-years-old), and 1-year post-secondary school. A total of 2678 Year 8 students (74%) participated in the first wave of data collection. For the school-based surveys, attrition was Results Having both good school and social Connectedness in Year 8 was associated with the best outcomes in later years. In contrast, participants with low school Connectedness but good social Connectedness were at elevated risk of anxiety/depressive symptoms (odds ratio [OR]: 1.3; 95% confidence interval [CI]: 1.0, 1.76), regular smoking (OR: 2.0; 95% CI: 1.4, 2.9), drinking (OR: 1.7; 95% CI: 1.3, 2.2), and using marijuana (OR: 2.0; 95% CI: 1.6, 2.5) in later years. The likelihood of completing school was reduced for those with either poor social Connectedness, low school Connectedness, or both. Conclusions Overall, young people's experiences of early secondary school and their relationships with others may continue to affect their moods, their substance use in later years, and their likelihood of completing secondary school. Having both good school Connectedness and good social Connectedness is associated with the best outcomes. The challenge is how to promote both school and social Connectedness to best achieve these health and learning outcomes.
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social and school Connectedness in early secondary school as predictors of late teenage substance use mental health and academic outcomes
Journal of Adolescent Health, 2007Co-Authors: Lyndal Bond, Helen Butler, Lindsey A Thomas, John B Carlin, Saundra Glover, G Bowes, George C PattonAbstract:PURPOSE: To examine associations between social relationships and school engagement in early secondary school and mental health, substance use, and educational achievement 2-4 years later. METHODS: School-based longitudinal study of secondary school students, surveyed at school in Year 8 (13-14-years-old) and Year 10 (16-years-old), and 1-year post-secondary school. A total of 2678 Year 8 students (74%) participated in the first wave of data collection. For the school-based surveys, attrition was <10%. Seventy-one percent of the participating Year 8 students completed the post-secondary school survey. RESULTS: Having both good school and social Connectedness in Year 8 was associated with the best outcomes in later years. In contrast, participants with low school Connectedness but good social Connectedness were at elevated risk of anxiety/depressive symptoms (odds ratio [OR]: 1.3; 95% confidence interval [CI]: 1.0, 1.76), regular smoking (OR: 2.0; 95% CI: 1.4, 2.9), drinking (OR: 1.7; 95% CI: 1.3, 2.2), and using marijuana (OR: 2.0; 95% CI: 1.6, 2.5) in later years. The likelihood of completing school was reduced for those with either poor social Connectedness, low school Connectedness, or both. CONCLUSIONS: Overall, young people's experiences of early secondary school and their relationships with others may continue to affect their moods, their substance use in later years, and their likelihood of completing secondary school. Having both good school Connectedness and good social Connectedness is associated with the best outcomes. The challenge is how to promote both school and social Connectedness to best achieve these health and learning outcomes.
