Celso Brunetti mun halda fyrirlestur við Háskóla Íslands þann 7. maí frá klukkan 12 til 13.30:
Celso Brunetti
Does interconnectedness improve market quality? Yes.
We develop an alternative network structure, the assets network: assets are connected
if they are held by the same investors. We use several large datasets to build the assets
network for the corporate bond market. Through careful identification strategies based
on the COVID-19 shock and “fallen angels,” we find that interconnectedness improves
market quality especially during stress periods. Our findings contribute to the debate
on the role of interconnectedness in financial markets and show that highly interconnected
corporate bonds allow for risk sharing and require a lower compensation for risk.
Fyrirlesturinn er öllum opinn.
Celso Brunetti er hagfræðingur við Seðlabanka Bandaríkjanna (Board of Governors of the Federal Board System)
