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Accounting for climate transition risk in banks' capital requirements.
J Financ StabAlessi L +3 more
europepmc +1 more source
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Anticipated Financial Contagion
SSRN Electronic Journal, 2022We revisit the seminal model of financial contagion of Allen and Gale (2000) by allowing aggregate liquidity shocks to occur with positive probability. We study how an ex-post shock’s size and probability affect ex-ante portfolio choices and risk sharing
Toni Ahnert, Co-Pierre Georg, G. Durand
semanticscholar +2 more sources
Is China a source of financial contagion?
Finance Research Letters, 2019The study examines the role China plays compared with the US in transmitting contagion to South Asia. Trade intensity, economic downturns, and negative net equity capital outflows positively influence dynamic conditional correlations between South Asian and US/Chinese financial stock returns.
Akhtaruzzaman +3 more
semanticscholar +6 more sources
Journal of Political Economy, 2000 Abstract There is a long tradition of regarding dislocation in the fmancial sector as a cause of economic fluctuations (Friedman and Schwartz 1963; Bernanke 1983; Bernanke and Gertler 1989). According to this view, fmancial crises are important because they raise the costs of intermediation and restrict credit, which in turn restrain the
Franklin Allen, Douglas Gale
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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
openaire +2 more sources
The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets
, 2021Motivated by the complex dynamics between the oil and stock markets, this study develops a dynamic Markov regime switching-copula-extreme value theory model to quantitatively investigate financial contagion and its characteristics between these two ...
Haiying Wang, Ying Yuan, Tianyang Wang
semanticscholar +1 more source
, 2011
The phrase financial contagion draws on a concept whose root meaning lies in the field of epidemiology. Like almost all metaphors, this one has the power to illuminate and to mislead. Its referent is the spread of financial distress from one firm, market,
Robert W. Kolb
semanticscholar +1 more source
The phrase financial contagion draws on a concept whose root meaning lies in the field of epidemiology. Like almost all metaphors, this one has the power to illuminate and to mislead. Its referent is the spread of financial distress from one firm, market,
Robert W. Kolb
semanticscholar +1 more source