This paper proposes a new way to model and analyze contagion in interbank networks. We use a unique dataset from the … Brazilian financial system and include all active financial intermediaries. We show that the contagion chain has a short … propagation path. We find that first-round contagion is generated only by banks and that medium-sized banks can generate contagion …

connections. Credit interlinkages among agents are a source of bankruptcy diffusion: in fact, failure of fulfilling debt … commitments would lead to bankruptcy chains. All in all, the bankruptcy in one sector can diffuse to other sectors through … linkages creating a vicious cycle and bankruptcy avalanches in the network economy. Our analysis show how the choices of credit …

This study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the … the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test … can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find …

decision behavior, and financial contagion between markets occurs as a result of attempts by traders in the domestic market to …

This work concerns the modeling of contagion and herding effects which can cause significant movements of prices and … interacting particles is used to describe the contagion and emergence of herding behavior of financial agents leading to the …

Our study attempts to discover pure contagion or interdependence amongst the Asian equity markets (China, India, Taiwan …–lag relationship. We find that most of the earlier shocks were transmitted via excessive linkages or pure contagion, while the recent … subprime crisis appears to have resulted mostly in fundamentals-based contagion or interdependence. This assertion is based …

We use a spatial Probit model to study the effect of contagion between banking systems of different countries. Applied … to the late 1990s banking crisis in Asia we show that the phenomena of contagion is better seized using a spatial than a … effects of contagion that result from the outbreak of one initial crisis in one country or system. These contagion effects may …

social network data collection and analysis in recent years. Within many such networks the interactions are transient: thus … those networks evolve over time. In this paper we introduce a class of models for such networks using evolving graphs with … memory dependence. In particular we show that such networks may continue evolving forever, or else may quench and become …