  We report on time-varying network connectedness within three banking systems:
North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is
improved by using exponentially weighted daily returns and ridge regularization
on vector autoregression (VAR) and forecast error variance decomposition
(FEVD). We compute the total network connectedness for each of the three
banking systems, which quantifies regional uncertainty. Results over rolling
windows of 300 days during the period between 2005 and 2015 reveal changing
uncertainty patterns which are similar across regions, with common peaks
associated with identifiable exogenous events. Lead-lag relationships among
changes of total network connectedness of the three systems, quantified by
transfer entropy, reveal that uncertainties in the three regional systems are
significantly causally related, with the North American system having the
largest influence on EU and ASEAN.
