Tuesday, September 2, 2014

FinancialConnectedness.org Site Now Up


The Financial and Macroeconomic Connectedness site is now up, thanks largely to the hard work of Kamil Yilmaz and Mert Demirer. Check it out at http://financialconnectedness.org. It implements the Diebold-Yilmaz framework for network connecteness measurement in global stock, sovereign bond, FX and CDS markets, both statically and dynamically (in real time). It includes results, data, code, bibliography, etc. Presently it's all financial markets and no macro (e.g., no global business cycle connectedness), but macro is coming soon. Check back in the coming months as the site grows and evolves.