PRICE lecture in May on interconnectedness in financial markets

Celso Brunetti will give a lecture at the National Museum on 7 May from 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.

 

 

The meeting is open to the public.

Celso Brunetti is Assistant Director of Research and Statistics at the Federal Reserve system