positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected … agents is more prone to contagion risk stemming from funding shocks. …

distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross … primary contagion driver, rather than the trade channel. Given the substantial degree of financial contagion, I run a series … similarly severe contagion in the future, so long as there is not capital immobility to the degree that the local sovereign can …

portfolio contagion. In a complementary regression analysis, the effect of counterparty risk on Credit Default Swap (CDS …

contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their …. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and … managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised. …

on, allow us to better measure financial contagion and systemic risk events in the model and to study the possible …