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  An analysis of systemic risk in worldwide economic sentiment indices

Lux, T., Luu, D. T., Yanovski, B. (2020): An analysis of systemic risk in worldwide economic sentiment indices. - Empirica - Journal of European Economics, 47, 4, 909-928.
https://doi.org/10.1007/s10663-019-09464-3

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Lux, T.1, Autor
Luu, D. T.1, Autor
Yanovski, Boyan2, Autor              
Affiliations:
1External Organizations, ou_persistent22              
2Potsdam Institute for Climate Impact Research, ou_persistent13              

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 Zusammenfassung: We investigate the temporal dynamics of correlations between sentiment indices worldwide. Employing the tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information embedded in the interactions between economic and business sentiment indices around the world. We find that: (1) the dynamics of the sentiment indices across countries can be well explained by the evolution of a single factor (the “market mode”); (2) during most periods, some groups of countries exhibit sentiment dynamics less associated with (or divergent from) the market mode, while (3) during the financial crisis, no country or group of countries has been able to escape the market mode, which accounts for almost all movements in the indices. We argue that strong “global” information signals, like the collapse of the US housing market in 2007, can lead to a homogenization of the expectation structure around the world, as such information can provide a coordination signal for a global phase of low confidence.

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 Datum: 2019-09-242020-11-05
 Publikationsstatus: Final veröffentlicht
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 Ort, Verlag, Ausgabe: -
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 Art der Begutachtung: Expertenbegutachtung
 Identifikatoren: DOI: 10.1007/s10663-019-09464-3
PIKDOMAIN: RD3 - Transformation Pathways
eDoc: 8933
MDB-ID: No data to archive
Organisational keyword: RD3 - Transformation Pathways
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Titel: Empirica - Journal of European Economics
Genre der Quelle: Zeitschrift, SCI, Scopus
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Ort, Verlag, Ausgabe: -
Seiten: - Band / Heft: 47 (4) Artikelnummer: - Start- / Endseite: 909 - 928 Identifikator: Anderer: Springer Science+Business Media B.V.
Anderer: 1573-6911
ISSN: 0340-8744
CoNE: https://publications.pik-potsdam.de/cone/journals/resource/empirica