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Financial Contagion [PDF]

, 2013
info:eu-repo/semantics ...
Kollmann, Robert, Malherbe, Frédéric
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Contagion and equilibria in diversified financial networks

Journal of Economic Theory, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Victor Amelkin, Santosh Venkatesh, Rakesh Vohra   +2 more
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Networks of Financial Contagion

2013
Banks develop relationships in order to protect themselves against liquidity risk. Despite this benefit, fragility of financial markets stems from these interconnections. A cornerstone in the microeconomic analysis of contagion in financial systems is the contribution of Allen and Gale (2000).
CUTILLO, Luisa, DE MARCO, Giuseppe, DONNINI, Chiara   +2 more
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A Primer on Financial Contagion [PDF]

Journal of Economic Surveys, 2003
Abstract.  This paper presents a theoretical framework to highlight possible channels for the international transmission of financial shocks. We first review the different definitions and measures of contagion adopted by the literature. We then use a simple multi‐country asset pricing model to classify the main elements of the current debate on ...
Marcello Pericoli, Massimo Sbracia
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Informational Channels of Financial Contagion

Econometrica, 2020
Two main classes of channels are studied as informational sources of financial contagion. One is a fundamental channel that is based on real and financial links between economies, and the second is a social learning channel that arises when agents base their decisions on noisy observations about the actions of others in foreign markets.
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The Effect of Diversification on Financial Contagion

2016 49th Hawaii International Conference on System Sciences (HICSS), 2016
The economic and financial crises of the early 21st century (e.g. 2007 -- 2009 global financial turmoil) have made financial instability, which is induced by financial contagion, as one of the major concerns in the economics or financial field worldwide. In this paper we model a network of financial cross-holdings based on the classic Leontief input --
Xian Cheng, Xinbo Sun, Stephen Shaoyi Liao, Zhongsheng Hua, Xiaolu Yang, Mengshen Huang   +5 more
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On the measure of contagion in fuzzy financial networks

Applied Soft Computing, 2018
Abstract Previous literature shows that financial networks are sometimes described by fuzzy data. This paper aims to extend classical models of financial contagion to the framework of fuzzy financial networks. The degree of default of each bank in the network is defined.
De Marco, Giuseppe, Donnini, Chiara, Gioia, Federica, Perla, Francesca   +3 more
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International Financial Contagion
. Contagion in Financial Markets

The Economic Journal, 2002
Michael Chui, Ashley Taylor
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A Spatial Contagion Test for Financial Markets

2013
By using some ideas recently introduced by Durante and Jaworski, we present a test for spatial contagion among financial markets. This test is based on a comparison between threshold copulas associated with a given pair of random variables representing two financial markets.
Fabrizio Durante, Enrico Foscolo, Miroslav Sabo   +2 more
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Contagion in Financial Markets [PDF]

, 2002
This paper presents a model on contagion in nancial markets. We use a bank run framework as a mechanism to initiate a crisis and argues that liquidity crunch and imperfect information are the key culprits for a crisis to be contagious. The model proposes that a crisis is more likely to be contagious when (1) banks have similar cost-effciency structures
David Backus, Silverio Foresi, Liuren Wu
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