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An Epidemiological Model of Crisis Spread Across Sectors in The United States
Janssens, Eva F.; Lumsdaine, Robin L.; Vermeulen, … - 2018
This paper develops a discrete-time epidemiological model for the spread of crises across sectors in the United States for the period 1952-2015. It is the first to use an epidemiological approach with macroeconomic (Flow of Funds) data. An extension of the usual one-period Markov model to a...
Persistent link: https://www.econbiz.de/10011819523
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Sectoral slowdowns in the UK: Evidence from transmission probabilities and economic linkages
Janssens, Eva; Lumsdaine, Robin - 2021
This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through...
Persistent link: https://www.econbiz.de/10012605993
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Sectoral slowdowns in the UK : evidence from transmission probabilities and economic linkages
Janssens, Eva; Lumsdaine, Robin L. - 2021
This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through...
Persistent link: https://www.econbiz.de/10012511453
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An Epidemiological Model of Economic Crisis Spread Across Sectors in the United States
Janssens, Eva - 2018
This paper develops a discrete-time epidemiological model for the spread of economic crises across sectors in the United States for the period 1952-2015. It is the first to use an epidemiological approach with macroeconomic (Flow of Funds) data. An extension of the usual one-period Markov model...
Persistent link: https://www.econbiz.de/10012930069
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COVID-19 and investor sentiment influence on the US and European countries sector returns
Reis, Pedro M. Nogueira; Pinho, Carlos - In: Investment management and financial innovations 17 (2020) 3, pp. 373-386
Persistent link: https://www.econbiz.de/10012406234
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On the Epidemic of Financial Crises
Demiris, Nikolaos - 2013
-Infected-Recovered) transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a …This paper proposes a framework for modelling financial contagion that is based on SIR (Susceptible … outcome and temporal data. The latter require the introduction of a novel hierarchical model that we call the Hidden Epidemic …
Persistent link: https://www.econbiz.de/10013083449
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The 2008 Global Financial Crisis and COVID-19 Pandemic : How Safe are the Safe Haven Assets?
Cheema, Muhammad A. - 2020
This paper compares the performance of safe haven assets during two stressful stock market regimes – the 2008 Global Financial Crisis (GFC) and COVID-19 pandemic. Our analysis across the ten largest economies in the world shows that the traditional choice, gold, acts as a safe haven during the...
Persistent link: https://www.econbiz.de/10012835390
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Italian Banks, the Legacy of the Global Financial Crisis and the COVID-19 Pandemic : So Far so Good
Negro, Simone; Macchiati, Alfredo; Onado, Marco; … - 2021
We discuss whether and to what extent Italian banks will be able to support the recovery after the COVID-19 pandemic. The answer crucially depends on how the legacy of the Great Financial Crisis is evaluated. Moving from the hypothesis that the problems must be examined in the context of the...
Persistent link: https://www.econbiz.de/10013217485
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Global Financial Crisis, COVID-19, Lockdown, and Herd Behavior in the US ESG Leader Stocks
Rubbaniy, Ghulame; Ali, Shoaib; Siriopoulos, Costas; … - 2021
Using data of the constituents of the MSCI USA ESG leader index, this study investigates the herding behavior in the US …
Persistent link: https://www.econbiz.de/10013222725
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Corporate Bond Issuance During the COVID-19 Pandemic : A Comparison with the Global Financial Crisis
Pascual González, Roberto - 2021
In the early stages of the global financial crisis and the COVID-19 crisis, bond issuance by non-financial and non-bank financial corporations in the developed economies hit record levels. However, the underlying reasons for this are different: during the global financial crisis, bond issuances...
Persistent link: https://www.econbiz.de/10013211317