An Epidemiological Model of Crisis Spread Across Sectors in The United States

Eva (E.F.) Janssens (), Robin (R.) Lumsdaine () and Sebastiaan (S.H.L.C.G.) Vermeulen ()
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Eva (E.F.) Janssens: Tinbergen Institute; Erasmus University of Rotterdam
Robin (R.) Lumsdaine: American University, Erasmus University of Rotterdam
Sebastiaan (S.H.L.C.G.) Vermeulen: Tinbergen Institute; Erasmus University of Rotterdam

No 18-008/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: 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 two-period setting incorporates the concept of downturns that may either precede a crisis or from which the sector may recover and avert a crisis. The results indicate that the nonfinancial business and private depository institutions & money market mutual funds sectors are highly contagious while the monetary authority is the least contagious.

Keywords: Flow of Funds; economic downturns; Susceptible-Infected-Removed(SIR); contagion; epidemiology (search for similar items in EconPapers)
JEL-codes: E01 E32 E37 G01 (search for similar items in EconPapers)
Date: 2018-01-26
New Economics Papers: this item is included in nep-hme and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20180008

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