Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks

We analyze the changes in the financial network built using the Dow Jones Industrial Average components following monetary policy shocks. Monetary policy shocks are measured through unexpected changes in the federal funds rate in the United States. We determine the changes in the financial networks...

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Detalles Bibliográficos
Autores principales: Caraiani, Petre, Lazarec, Alexandru Vasile
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8620785/
https://www.ncbi.nlm.nih.gov/pubmed/34828163
http://dx.doi.org/10.3390/e23111465
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author Caraiani, Petre
Lazarec, Alexandru Vasile
author_facet Caraiani, Petre
Lazarec, Alexandru Vasile
author_sort Caraiani, Petre
collection PubMed
description We analyze the changes in the financial network built using the Dow Jones Industrial Average components following monetary policy shocks. Monetary policy shocks are measured through unexpected changes in the federal funds rate in the United States. We determine the changes in the financial networks using singular value decomposition entropy and von Neumann entropy. The results indicate that unexpected positive shocks in monetary policy shocks lead to lower entropy. The results are robust to varying the window size used to construct financial networks, though they also depend on the type of entropy used.
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spelling pubmed-86207852021-11-27 Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks Caraiani, Petre Lazarec, Alexandru Vasile Entropy (Basel) Article We analyze the changes in the financial network built using the Dow Jones Industrial Average components following monetary policy shocks. Monetary policy shocks are measured through unexpected changes in the federal funds rate in the United States. We determine the changes in the financial networks using singular value decomposition entropy and von Neumann entropy. The results indicate that unexpected positive shocks in monetary policy shocks lead to lower entropy. The results are robust to varying the window size used to construct financial networks, though they also depend on the type of entropy used. MDPI 2021-11-06 /pmc/articles/PMC8620785/ /pubmed/34828163 http://dx.doi.org/10.3390/e23111465 Text en © 2021 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Caraiani, Petre
Lazarec, Alexandru Vasile
Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks
title Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks
title_full Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks
title_fullStr Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks
title_full_unstemmed Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks
title_short Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks
title_sort using entropy to evaluate the impact of monetary policy shocks on financial networks
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8620785/
https://www.ncbi.nlm.nih.gov/pubmed/34828163
http://dx.doi.org/10.3390/e23111465
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