currency crises. We address three interrelated questions: (i) How can we best capture contagion; (ii) Is the contagion of … measure, we test for contagion and conclude that contagion only exists regionally. Furthermore, we construct a â …€œcross-market rebalancing variable based on the regional CPJF. By employing a probit model to compare our new variable with a regular contagion …

We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …

This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our … measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot … evidence of contagion for the US, Germany and the UK. This result is stronger for the insurance sector than for the banking …

constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …

We investigate interlinkages and contagion risks in the Dutch interbank market. Based on severaldata sources, including … a scenario analysis to measure contagion risks. We find that the bankruptcy of one of the large banks will put a … considerable burden on the other banks, but will not lead to a complete collapse of the interbank market. The contagion effects of …