We suggest that banks contribute extensively to systemic risk only if they are both “risky” and centrally placed in the financial network. To calculate systemic risk we apply the ∆CoVaR measure of Adrian and Brunnermeier (2016) and measure centrality using detailed US loan syndication...

We use economic policy uncertainty (EPU) shocks in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market variances and correlations, primarily for the US and the UK. The US long-run stock market variance depends significantly on US EPU shocks but not on...