Results 21 to 30 of about 1,839,651 (256)
Cogent Economics & Finance, 2022 This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian markets during the Global Financial Crisis (GFC) and Covid-19 Pandemic Crisis.
Thi Ngan Nguyen +2 more
semanticscholar +1 more source
Contagion in Financial Networks [PDF]
Journal of Economic Literature, 2015 The recent financial crisis has prompted much new research on the interconnectedness of the modern financial system and the extent to which it contributes to systemic fragility. Network connections diversify firms' risk exposures, but they also create channels through which shocks can spread by contagion.
Paul Glasserman +3 more
openaire +6 more sources
Contagion in Financial Networks [PDF]
SSRN Electronic Journal, 2007 This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure and asset market liquidity.
Prasanna Gai +2 more
openaire +4 more sources
Financial Networks and Contagion [PDF]
American Economic Review, 2012 We study cascades of failures in a network of interdependent financial organizations: how discontinuous changes in asset values (e.g., defaults and shutdowns) trigger further failures, and how this depends on network structure. Integration (greater dependence on counterparties) and diversification (more counterparties per organization) have different,
Benjamin Golub +3 more
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Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective [PDF]
Social Science Research Network, 2021 In this article, to model risk contagion between the U.S. and China stock markets based on high-frequency financial data, we develop a novel continuous-time jump-diffusion process.
Minseog Oh, Donggyu Kim
semanticscholar +1 more source
Temporal Networks in the Analysis of Financial Contagion
Social Science Research Network, 2022 This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018.
Fabio Franch, Luca Nocciola, A. Vouldis
semanticscholar +1 more source
Journal of Accounting, Finance and Auditing Studies, 2023 Purpose: A notable observation in the literature of financial markets is the debate on market contagion and causality. During periods of financial distress, global financial markets experience record low market prices partly due to the spread of fear. It
Samuel Tabot Enow
semanticscholar +1 more source
RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS [PDF]
Mathematical Finance, 2010 We derive rigorous asymptotic results for the magnitude of contagion in a large counterparty network and give an analytical expression for the asymptotic fraction of defaults, in terms of network characteristics. Our results extend previous studies on contagion in random graphs to inhomogeneous‐directed graphs with a given degree sequence and arbitrary
Amini, H, Cont, R, Minca, A
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Liquidity, Contagion and Financial Crisis [PDF]
SSRN Electronic Journal, 2010 We develop a theoretical model where a redistribution of bank capital (e.g., due to reckless trading and/or faulty risk management) leads to a “freeze” of the interbank market. The fire-sale market plays a central role in spreading the crisis to the real economy.
Guembel, Alexander, Sussman, Oren
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Financial contagion among COVID-19 concept-related stocks in China
Applied Economics, 2021 This paper investigates, for the first time, the presence of financial contagion among several important Chinese coronavirus concept-based stock indices during the recent COVID-19 global pandemic.
S. Corbet, Y. Hou, Yang Hu, L. Oxley
semanticscholar +1 more source