Interdependence, Vulnerability and Contagion in Financial and Economic Networks

Vodenska, Irena; Becker, Alexander P.

doi:10.1007/978-3-030-11364-3_8

Cited by 4 publications

(4 citation statements)

References 14 publications

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“…Measuring financial spillover always poses a methodological challenge. It is often problematic to distinguish contagion and spillover from interdependence (Vodenska and Becker 2019). The results are likely biased due to model misspecification (Rigobon 2016).…”

Section: Introductionmentioning

confidence: 99%

Financial Spillover in Emerging Asia: A Tale of Three Crises

Azis

Virananda

Estiko

2021

Asian Economic Papers

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By measuring time-varying financial spillovers of five asset classes, we analyze the propagation of shocks originating in the United States and Japan into countries of Emerging Asia (EA). We compare the scale and nature of spillovers during the 2008-09 global financial crisis (GFC), the 2013 “taper tantrum” (TT), and the on-going COVID-19 pandemic (C-19). Based on the direct and indirect spillovers, the intensity of the spillover effect was largest during C-19 due to its global and multidimensional nature, and the United States was a net transmitter of spillovers particularly in bonds and equity markets. TT was an important episode for EA as it marked the beginning of the region's financial volatility and increased spillovers especially in bonds market. The impulse responses reveal that most spillovers were transmitted rapidly, in a matter of days. In times of recession whereby financial stability is in danger of being affected by spillovers, a concrete financial cooperation remains absent in EA although formal institutions designed to deal with the contagion have been put in place.

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Section: Introductionmentioning

confidence: 99%

Financial Spillover in Emerging Asia: A Tale of Three Crises

Azis

Virananda

Estiko

2021

Asian Economic Papers

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“…However, merely the possibility of a type of a contact process in the class of complex systems of interest does not imply that temporal data collected from some such system should be modeled using the aforementioned stochastic processes. The lack of contact data, necessary to reconstruct the network to model the spreading processes (pathways a new pathogen takes 8,9 or the reasons for companies default 10 ); the lack of some layers in a multiplex network that would most precisely represent the real system [11][12][13] , or simply no network contribution in the spreading -are some of the instances in which modeling of the process is best done as a non-network field effect.…”

Section: Introductionmentioning

confidence: 99%

Causal motifs and existence of endogenous cascades in directed networks with application to company defaults

Barjašić

Štefančić

Pribičević

et al. 2021

Preprint

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Motivated by the detection of cascades of defaults in economy, we developed a detection framework for an endogenous spreading based on causal motifs we define in this paper. We assume that the change of state of a vertex can be triggered by an endogenous or an exogenous event, that the underlying network is directed and that times when vertices changed their states are available. In addition to the data of company defaults, we also simulate cascades driven by different stochastic processes on different synthetic networks. We show that some of the smallest motifs can robustly detect endogenous spreading events. Finally, we apply the method to the data of defaults of Croatian companies and observe the time window in which an endogenous cascade was likely happening.

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“…While links between individuals in disease transmission usually describe some form of contact or interaction that would allow for the infection to spread, links in a financial network 7 are typically approximated through the similarity of characteristics among the financial entities (Vodenska & Becker 2019). Stock markets usually serve as proxies for the health and robustness of the underlying economies and foreign exchange markets encode macroeconomic fundamentals like GDP growth, inflation rate and unemployment (Taulbee 2000).…”

Section: Theoretical Concept Of Contagion and Spilloversmentioning

confidence: 99%

“…It is generally assumed that a high degree of correlation suggests a larger likelihood of crisis spreading from one node to another. In particular, tightly knit communities are more likely to react to a given shock in a similar way; therefore, identifying these communities may help to anticipate the dynamics of the shock throughout the network (Vodenska & Becker 2019).…”

Section: Theoretical Concept Of Contagion and Spilloversmentioning

confidence: 99%

Equity super sectors connectedness and its determinants: evidence from the Johannesburg Stock Exchange.

Babatunde

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My sincere utmost praise, honour, adoration, worship and thanksgiving goes to my LORD, my Father and God the monarch of Zion, the uncreated creator of the heavens, the earth, the living and non-living. Who showed me mercy in time past and makes His mercy endures forever over me. He gave me wisdom and sound health throughout the period of this study. He led me by His Spirit (thank you, Holyghost), in the day and in the night with instructions and words of directions, in dreams and visions on steps to take and whom to call through this study and every step, in obedience, has yielded fruits. He opened the doors, the heart of the great and mighty, the knowledge and resources of the wise for me to access for the success of this research. I will worship you forever my LORD, my King, my Glory and the lifter up of my head.

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Interdependence, Vulnerability and Contagion in Financial and Economic Networks

Cited by 4 publications

References 14 publications

Financial Spillover in Emerging Asia: A Tale of Three Crises

Financial Spillover in Emerging Asia: A Tale of Three Crises

Causal motifs and existence of endogenous cascades in directed networks with application to company defaults

Equity super sectors connectedness and its determinants: evidence from the Johannesburg Stock Exchange.

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