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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Autores principales:	Petre Caraiani, Alexandru Vasile Lazarec
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	entropy financial markets monetary policy networks Science Q Astrophysics QB460-466 Physics QC1-999
Acceso en línea:	https://doaj.org/article/094597d6a7df4404854fb17ee592e4d6
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spelling	oai:doaj.org-article:094597d6a7df4404854fb17ee592e4d62021-11-25T17:29:52ZUsing Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks10.3390/e231114651099-4300https://doaj.org/article/094597d6a7df4404854fb17ee592e4d62021-11-01T00:00:00Zhttps://www.mdpi.com/1099-4300/23/11/1465https://doaj.org/toc/1099-4300We 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.Petre CaraianiAlexandru Vasile LazarecMDPI AGarticleentropyfinancial marketsmonetary policynetworksScienceQAstrophysicsQB460-466PhysicsQC1-999ENEntropy, Vol 23, Iss 1465, p 1465 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	entropy financial markets monetary policy networks Science Q Astrophysics QB460-466 Physics QC1-999
spellingShingle	entropy financial markets monetary policy networks Science Q Astrophysics QB460-466 Physics QC1-999 Petre Caraiani Alexandru Vasile Lazarec Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks
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.
format	article
author	Petre Caraiani Alexandru Vasile Lazarec
author_facet	Petre Caraiani Alexandru Vasile Lazarec
author_sort	Petre Caraiani
title	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_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_sort	using entropy to evaluate the impact of monetary policy shocks on financial networks
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/094597d6a7df4404854fb17ee592e4d6
work_keys_str_mv	AT petrecaraiani usingentropytoevaluatetheimpactofmonetarypolicyshocksonfinancialnetworks AT alexandruvasilelazarec usingentropytoevaluatetheimpactofmonetarypolicyshocksonfinancialnetworks
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Using Entropy to Evaluate the Impact of Monetary Policy Shocks on Financial Networks

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