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Testing for financial contagion with applications to the Canadian banking system

Li, Fuchun - 2009

The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the...

Persistent link: https://www.econbiz.de/10003852845

On the Relationship between COVID-19 and G7 Banking Co-Movements

Matos, Paulo Rogério; da Silva, Cristiano; Costa, Antonio - 2021

financial indices. We also find that COVID-19 world cases and deaths are relevant to understand banking cycles co …

Persistent link: https://www.econbiz.de/10013239054

COVID-19 Pandemic and Stock Market Contagion : A Wavelet-Copula GARCH Approach

Alqaralleh, Huthaifa - 2020

In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence...

Persistent link: https://www.econbiz.de/10012830722

Energy Contagion in the COVID-19 Crisis

Heinlein, Reinhold - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012831660

Are all forms of financial integration equally risky in times of financial turmoil? : asset price contagion during the global financial crisis

Ahrend, Rudiger; Goujard, Antoine - 2012

Using the 2008-09 global financial crisis, this paper examines the role of different forms of international financial integration for asset price contagion in crisis times. Defining contagion as the transmission of financial market movements beyond the co-movements that would occur in...

Persistent link: https://www.econbiz.de/10009691012

Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets

Cai, Charlie X.; Hu, May; Ye, Xiaoxia - 2021

We show that the cross-autocorrelation also exists in the global CDS markets and develop an econometric model to capture the global correlation structure. We study implications on the credit risk transmission and contagion risk. We find four main results: (i) credit risk transmission is through...

Persistent link: https://www.econbiz.de/10013232360

Viral shocks to the world economy

Cholodilin, Konstantin Arkadʹevič; Rieth, Malte - 2020

We construct a news-based viral disease index and study the dynamic impact of epidemics on the world economy, using … structural vector autoregressions. Epidemic shocks have persistently negative effects, both directly and indirectly, on affected … countries and on world output. The shocks lead to a signiﬁcant fall in global trade, employment, and consumer prices for three …

Persistent link: https://www.econbiz.de/10012197902

Daily tracker of global economic activity : a close-up of the COVID-19 pandemic

Diaz, Elena; Pérez-Quirós, Gabriel - 2020

This paper develops a novel indicator of global economic activity, the GEA Tracker, which is based on commodity prices selected recursively through a genetic algorithm. The GEA Tracker allows for daily real-time knowledge of international business conditions using a minimum amount of...

Persistent link: https://www.econbiz.de/10012390472

Global Value Chains and U.S. Economic Activity During Covid-19

LaBelle, Jesse; Leibovici, Fernando; Santacreu, Ana Maria - 2021

We investigate the role of global value chains in the declines of manufacturing employment and output in the U.S. during COVID-19. Specifically, we identify the role of global value chains by exploiting heterogeneity across industries in cross-country sourcing patterns and its interaction with...

Persistent link: https://www.econbiz.de/10013219613

Divided We Fall : International Health and Trade Coordination During a Pandemic

Acharya, Viral V.; Jiang, Zhengyang; Richmond, Robert; … - 2021

We analyse the role of international trade and health coordination in times of a pandemic by building a two-economy, two-good trade model integrated into a micro-founded SIR model of infection dynamics. Uncoordinated governments with national mandates can adopt (i) containment policies to...

Persistent link: https://www.econbiz.de/10013245207

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