Contagion and tail risk in complex financial networks

Kumushoy Abduraimova

Journal of Banking & Finance, 2022, vol. 143, issue C

Abstract: New contagion measures based on theories of copula, heavy-tailed distributions and networks are introduced. The measures are applied to study international stock markets contagion during the Global Financial Crisis 2008. Having declined post-crisis, the contagion risk remains above its pre-crisis level for both advanced and emerging economies. A sub-network analysis of contagion shows that the shock propagated mainly from core to periphery during the crisis. We propose an instrumental variable regression approach to deal with a potential endogeneity problem in the analysis of the contagion measures as determinants of tail risk. Endogeneity might arise as both contagion measures and tail indices are themselves estimated. The obtained results are statistically significant and suggest that more contagion-central countries tend to be less prone to tail risk.

Keywords: Financial contagion; Networks; Tail dependence; Tail risk; Contagion measure (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037842662200156X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:143:y:2022:i:c:s037842662200156x

DOI: 10.1016/j.jbankfin.2022.106560

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().