This paper studies the role of cross-border supply-chains for international financial contagion. Following large country-level shocks abroad, such as country-index return jumps and natural disasters, the dynamic conditional correlation (DCC) of stock returns between U.S. suppliers and their...

The systemic risk induced by a connection among financial objects is generally measured by returns, volatility, interbank loans, etc. Nevertheless, these measures do not capture the microscale component of the interconnections induced by heterogeneous investor activity. In this paper, we exploit...

This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting from collateralized and uncollateralized transactions....

Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlation. These channels include the transmission of shocks operating through changes in the higher order...

In this paper, the direction-of-dependence concept was introduced for analyzing asymmetric properties of stock markets. The simulation results indicated that US major stock markets had the leading of the world stock market before 2008. The situation changed after 2008 where the leading role was...

The paper sheds light on financial contagion within the Euro Area and Asia, and contagion from the Euro Area to Asia during two recent crises. Using both original constant threshold and Value-at-Risk to estimate extreme negative returns, the empirical findings indicate the existence of contagion...

We develop a model for contagion risks and optimal security investment in a directed network of interconnected agents with heterogeneous degrees, loss functions and security profiles. Our model generalizes much of contagion models in the literature; in particular the independent cascade model and...

Using granular data about government bonds, we find that dealer networks undergo significant changes after the arrival of new public information. Following the release of macroeconomic data, dealer intermediation increases, the dealers' inventory changes and more bonds circulate through the...