Asymmetric Network Connectedness of Fears
利用美国主要银行看涨和看跌期权价格提取非对称网络结构，发现其能预测宏观经济状况和经济不确定性，可用于前瞻性系统性风险监测。
Abstract This paper introduces forward-looking measures of the network connectedness of fears in the financial system arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put traded option prices of the main U.S. banks contains valuable information for predicting macroeconomic conditions and economic uncertainty, and it can serve as a tool for forward-looking systemic risk monitoring.