Kısa vadeli faizlerin bağlanmışlığını anlamak

I analyze the connectedness of short-term interest rates. In particular, I use the Diebold and Yilmaz methodology to study the behavior of financial connectedness across the 3-month interbank offered rates for 33 countries over the 1991-2014 period. I find that short-term interest rates have become highly interconnected during the financial crises. More importantly, my results reveal that policy interest rate decisions by the central banks have a crucial influence on the connectedness of short-term interest rates. As a next step, I apply variance decomposition to the financial network framework to clearly observe the linkages between the short-term interest rates. The total connectedness index emphasizes both the minor and major crisis episodes around the world. The empirical results show that before the introduction of the single European currency, Euro, in 1999, the bulk of the shock transmission took place among the EU member countries. Once Euro was introduced, the connectedness of the US and the EU short-term interest rates happened to be the most significant. After establishing these general results, I study the directional connectedness across countries during the most important crisis episodes. Keywords: Financial connectedness, risk measurement, systemic risk, Libor rate, vector autoregression, variance decomposition