Abstract
ABSTRACT Investor sentiment connectedness (TCI), which depicts the aggregate effect of investor sentiment contagion, is documented as a potential risk contagion channel and plays an essential role in the evolution of systemic risk. This study applies the TVP-VAR model to construct TCI and examines whether TCI can predict banking systemic risk. Empirical results show that an increase in TCI strongly and stably predicts increasing banking systemic risk over the next month. Additionally, both in-sample and out-of-sample results indicate that TCI provides incremental information for banking systemic risk prediction.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
