Measurements of Financial Contagion: A Primary Review from the Perspective of Structural Break

Xi Pei () and Shushang Zhu ()
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Xi Pei: Sun Yat-Sen University
Shushang Zhu: Sun Yat-Sen University

Chapter Chapter 5 in Optimization and Control for Systems in the Big-Data Era, 2017, pp 61-84 from Springer

Abstract: Abstract Financial contagion is an attractive topic in recent years, since it is one of the most important issues closely related to the financial systemic risk that could seriously hurt the economy. This review aims to summarize and clarify the different concepts and measurements of financial contagion investigated in the literatures and try to highlight their common feature and differences. Noting that “structural break” is the essential feature used to define financial contagion, most of the measurements of financial contagion proposed in the literature are along the line of modeling structural break according to different mechanisms. Although, a few measurements could be used to investigate financial contagion, there remain hardships in real applications. The emerging “Big Data” technology might be helpful to refine both the research and the practice of risk management relevant to financial contagion in model specification and information acquisition.

Keywords: Financial contagion; Financial market; Interbank system; Structural break (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-53518-0_5

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DOI: 10.1007/978-3-319-53518-0_5

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