Results 61 to 70 of about 1,868,624 (359)
Network VAR Models to Measure Financial Contagion
The North American journal of economics and finance, 2020 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 ...
D. Ahelegbey, Paolo Giudici, S. Hashem
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Financial Contagion of the Russian Economy: Intersectoral Aspect
Финансы: теория и практикаThe study’s relevance is due to the need to identify the scale and channels of the spread of crises in the economy based on the use of the financial contagion methodology.
А. О. Ovcharov, A. M. Terekhov
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Financial Contagion and the Wealth Effect: An Experimental Study
Journal of Economic Behavior and Organization, 2020 We design a laboratory experiment to test the importance of wealth as a channel for financial contagion across markets with unrelated fundamentals. In a sequential global game, we analyze the decisions of a group of investors that hold assets in two ...
Anna Bayona, Oana Peia
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Contagion dynamics on financial networks * [PDF]
, 2019 We provide a graph theoretic background for the analysis of financial networks and review some technique recently proposed for the extraction of financial networks. We develop new measures of network connectivity, that are Von Neumann entropies and disagreement persistence index, using the spectrum of normalized Laplacian and Diplacian.
Roberto Casarin +3 more
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Capital and contagion in financial networks [PDF]
, 2013 We implement a novel method to detect systemically important financial institutions in a network. The method consists in a simple model of distress and losses redistribution derived from the interaction of banks' balance-sheets through bilateral exposures. The algorithm goes beyond the traditional default-cascade mechanism, according to which contagion
di Iasio, Giovanni +3 more
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Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets
Discrete Dynamics in Nature and Society, 2017 This paper applies mutual information to research the distribution of financial contagion in global stock markets during the US subprime crisis. First, we symbolize the daily logarithmic stock returns based on their quantiles.
Xudong Wang, Xiaofeng Hui
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Rethinking Financial Contagion [PDF]
SSRN Electronic Journal, 2016 How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of contagion in financial networks.
Visentin, Gabriele +2 more
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FINANCIAL CONTAGION BETWEEN THE US AND EMERGING MARKETS: COVID-19 PANDEMIC CASE
4th EMAN Selected Papers (part of EMAN conference collection), 2020 To realise how crises are disseminated is relevant for policy makers and regulators in order to take appropriate measures to prevent or contain the propagation of crises.
Paula Heliodoro +2 more
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COVID-19 Pandemic and Financial Contagion
Journal of Risk and Financial Management, 2020 The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis ...
Julien Chevallier
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Contagion in Commodity Markets under Financial Stress
Финансы: теория и практикаThe relevance of the study is due to the fact that in the conditions of the financialization of the economy, shocks arising in one market can spread rapidly and intensively to other markets, generating the effects of financial contagion.
M. Yu. Malkina
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