The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in...

The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial interconnectedness -- a possible source of systemic risk -- can serve as an early warning indicator of crises. In this paper we examine the ability of...