标题： 金融波动中的共同运动以经济基本面为锚定：宏观映射 显示英文标题

标题： Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping

摘要： 我们展示了名义金融网络与各国基本经济因素之间的经验联系。 我们从每日数据构建名义收益率相关网络，以概括行业层面的动态，并通过中心性度量和聚类算法确定名义网络中各行业的相对重要性。 特征向量中心性稳健地识别了在收益率网络上定义的最小生成树的骨架以及多维缩放图中的主要聚类。 我们表明，根据市值、收入和员工数量等指标定义的相对较大的行业构成了收益率网络的核心，而边缘则主要由相对较小的行业组成。 因此，行业层面的名义收益率动态以实际规模效应为锚定，最终影响风险管理的最优投资组合。 我们的结果在27个不同繁荣程度的国家以及市场动荡时期（2008-09）和相对平静时期（2015-16）之间具有合理的稳健性。 显示英文摘要

摘要： We demonstrate the existence of an empirical linkage between the nominal financial networks and the underlying economic fundamentals across countries. We construct the nominal return correlation networks from daily data to encapsulate sector-level dynamics and figure the relative importance of the sectors in the nominal network through a measure of centrality and clustering algorithms. The eigenvector centrality robustly identifies the backbone of the minimum spanning tree defined on the return networks as well as the primary cluster in the multidimensional scaling map. We show that the sectors that are relatively large in size, defined with the metrics market capitalization, revenue and number of employees, constitute the core of the return networks, whereas the periphery is mostly populated by relatively smaller sectors. Therefore, sector-level nominal return dynamics is anchored to the real size effect, which ultimately shapes the optimal portfolios for risk management. Our results are reasonably robust across 27 countries of varying degrees of prosperity and across periods of market turbulence (2008-09) as well as relative calmness (2015-16).