Results 11 to 20 of about 4,606 (227)
Contagion Channels between Real Estate and Financial Markets [PDF]
SSRN Electronic Journal, 2013 The recent crisis has demonstrated the linkages between asset classes within a country as well as the association between assets internationally. We provide for a better understanding of some of these linkages by conducting an empirical investigation of the channels underlying the risk of contagion between real estate investment trusts (REITs) and ...
Martin Hoesli, Kustrim Reka
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Financial contagion in the laboratory: The cross-market rebalancing channel [PDF]
Journal of Banking & Finance, 2013 Abstract We present the results of the first experimental study of financial markets contagion. We develop a model of financial contagion amenable to be tested in the laboratory. In the model, contagion happens because of cross-market rebalancing, a channel for transmission of shocks across markets first studied by Kodres and Pritsker (2002 ...
Marco Cipriani +2 more
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Social contagions with communication channel alternation on multiplex networks [PDF]
Physical Review E, 2018 11 pages, 7 figures, Accepted by Physical Review ...
Wei Wang +3 more
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Overview of Financial Contagion Channels in the Banking Sector of the Baltic States
Social Technologies, 2014 Abstract This article aims to determine and analyse the main features of channels of financial contagion in the banking sector of Baltic States. The most relevant channels seem to be the risk of common lender, the channel of real estate prices the channel of other macroeconomic shocks and the channel of volatility.
Laura Gudelytė
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Scenario-free analysis of financial stability with interacting contagion channels
Journal of Banking & Finance, 2022 Financial stress tests that capture multiple interactions between contagion channels are conditional on specific, subjectively-imposed stress scenarios. Eigenvalue-based approaches, in contrast, provide a scenario-independent measure of systemic stability, but so far only handle a single contagion mechanism. We develop an eigenvalue-based approach that
Garbrand Wiersema +3 more
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Estimating the Contagion Effect Through the Portfolio Channel Using a Network Approach
The Journal of Network Theory in Finance, 2018 This work studies the contagion risk through the portfolio investment channel using network analysis and simulation on cross-country bilateral data. The importance of the portfolio channel in the transmission of financial shocks reflects the high interconnectedness of the global financial system, which diminished in the aftermath of the global ...
Alessandro Schiavone
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Identifying and measuring the contagion channels at work in the European financial crises [PDF]
Journal of International Financial Markets, Institutions and Money, 2017 Abstract We investigate the phenomenon of contagion with a special focus on the recent financial crisis, distinguishing four alternative channels, namely the flight-to-quality, flight-to-liquidity, risk premium, and correlated information channels. Specifically, we employ the differences among estimates and impulse response functions across linear ...
Massimo Guidolin, Manuela Pedio
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A model of the topology of the bank – firm credit network and its role as channel of contagion [PDF]
Journal of Economic Dynamics and Control, 2016 This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiments with this model, we find that it shows a pronounced non-linear behavior ...
Thomas Lux
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Economic Modelling, 2020 We propose a new approach to the study of financial contagion and contagion channels in the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) model. This method allows us to elucidate the complex and dynamic dependence between forex markets.
Haiying Wang +3 more
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Scenario-free analyses of financial stability with interacting contagion channels
, 2022 The Great Financial Crisis of '07/'08 highlighted the dangers of instabilities in financial systems. In unstable financial systems, an initially small and localized financial shock may be amplified and spread throughout the system in a process referred to as financial contagion.
Garbrand Wiersema
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