Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis

Hadi Harb and Mehmet Umutlu

Economics Letters, 2024, vol. 244, issue C

Abstract: We examine how global shocks from various sources propagate across industries and countries. Financial contagion is measured using residual-based and volatility-adjusted correlation. Specific industries and countries were resilient during both global crises, while others played a significant role in transmitting shocks.

Keywords: Contagion; Covid-19 pandemic; Global financial crisis; Correlation; International diversification (search for similar items in EconPapers)
JEL-codes: E44 G15 H12 I18 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:244:y:2024:i:c:s016517652400510x

DOI: 10.1016/j.econlet.2024.112026

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