that ignoring inter-dependence can introduce an upward bias in the estimate of the contagion coefficient, and using Monte …This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … can be distinguished from inter-dependence. In a two-country (market) setup it is shown that for a range of fundamentals …

contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond …

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to … is particularly important. For example, our data show that stock-bond contagion is approximately as frequent as flight to …

This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank …