We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …

possible channel of contagion from the infected region to the rest of the world. Focusing on, say, the incidence of close human … can become big and global. Much of the empirical finance literature has focused only on "direct" contagion arising from … firms' contractual obligations. Direct contagion occurs if one firm's default on its contractual obligations triggers …

employ the previous results in the analysis of the contagion issue between Asian and American stock markets. Our results … shows some evidence of contagion and the proposed statistics identifies, on a data-driven basis, turmoil periods consistent …