A Network of Trouble: Modelling Financial Interconnectedness and Risk Sharing

The financial health of an economy is relevant to its sustainable growth and development. This project will measure the risks involved in financial connectedness and help to monitor these risks in the real economy in an international setting. To achieve this objective, the project will develop an index of financial interconnectedness, measure consumption risk sharing across countries, generate an index of global market uncertainty and compute global jump risk among financial assets in relation to monetary policy changes. The project will help to better understand optimum levels of financial integration and its significance to risk sharing among countries.