Persistence in financial connectedness and systemic risk
本文用频域方法区分冲击带来的暂时性和持续性关联，发现美国金融业波动率中两者差异显著，可追踪不同持续性的系统性风险来源，对市场参与者有参考价值。
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature. Our approach allows us to test for statistical differences in such dynamic links. We document substantial differences in transitory and persistent linkages among US financial industry volatilities, argue that they track heterogeneously persistent sources of systemic risk, and thus may serve as a useful tool for market participants.