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Financial contagion during COVID–19 crisis [PDF]
Finance Research Letters, 2021 This study examines how financial contagion occurs through financial and nonfinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, financial and non-financial firms ...
Ahmet Şensoy, Sabri Boubaker
exaly +3 more sources
Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory [PDF]
Economic Modelling, 2021 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.
Xunhong Wang, Ying Yuan, Haiying Wang
exaly +3 more sources
Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19. [PDF]
Int Rev Financ Anal, 2022 This paper studies the pandemic-driven financial contagion during the COVID-19 period and the impact of investor behavior on it by constructing three types of direct behavior measurements based on Google search volumes.
Yuan Y, Wang H, Jin X.
europepmc +2 more sources
The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis. [PDF]
PLoS One, 2022 This study investigates the reaction of stock markets to the Covid-19 pandemic and the Global Financial Crisis of 2008 (GFC) and compares their influence in terms of risk exposures.
Gunay S, Can G.
europepmc +2 more sources
Financial contagion intensity during the COVID-19 outbreak: A copula approach. [PDF]
Int Rev Financ Anal, 2022 The sudden and rapid spread of the novel coronavirus (COVID-19) has had a severe impact on financial markets and economic activities all over the world. The purpose of this paper is to investigate the existence and intensity of financial contagion during
Benkraiem R +3 more
europepmc +2 more sources
Spatial financial contagion during the COVID-19 outbreak: Local correlation approach. [PDF]
J Econ Asymmetries, 2021 The purpose of this paper is to examine the effect of spatial proximity on financial contagion during the COVID-19 outbreak. We use the daily stock index series of Asian, American, and European countries from 1 January 2014 to 30 January 2021.
Zorgati I, Garfatta R.
europepmc +2 more sources
Bank diversity and financial contagion
Journal of Financial Stability, 2023 claims and common assets. We find that asset commonality makes banking systems more vulnerable to idiosyncratic liquidity shocks and helps to determine which interbank network structures are resistant to contagion. When the degree of commonality is homogeneous across banks, the complete interbank network, in which each bank borrows evenly from all the ...
E. Caiazzo, Alberto Zazzaro
semanticscholar +3 more sources
Network VAR models to measure financial contagion
North American Journal of Economics and Finance, 2021 Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers ...
Shatha Qamhieh Hashem +2 more
exaly +2 more sources
Financial crises and financial contagion in Japan
Японские исследования, 2023 The article analyzes the features of the financial crises in Japan in the context of using theoretical and practical approaches to financial contagion.
A. O. Ovcharov
doaj +3 more sources
Contagion and tail risk in complex financial networks
Journal of Banking and Finance, 2022 The thesis develops a unified approach to the analysis of the propagation of crises as well as economic policy throughout complex financial networks. The approach builds on new copula-based contagion measures introduced in the thesis.
K. Abduraimova
exaly +2 more sources