This paper analyzes the evolution of the banking system sensitivity to cross-border contagion over the period of 2006 … contagion risks tends to improve over the years. The most systemically important countries are those of the US, the UK, France … the UK would not lead to the failure of the US banking system even after all rounds of contagion. The results also show …

explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …

contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a …

existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial … “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov … subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …

based on di¤erent tests of contagion and investigate whether the transmission of crises across countries can be related to … similar debt conditions. We compare the role of debt stocks and ows to traditional channels for contagion based on regional … role than trade linkages in driving contagion across equity markets. …