Systemic Contagion

Bibliographic Data

ID19419249
AuthorsSoon Heng Leong (0000-0002-9282-4183, ESCP Business School, corresponding author)
Year2025
Volume43
Issue2
Pages468-481
Publication date2025-04-03
Open AccessNo
TypeARTICLE
VenueJournal of Business and Economic Statistics (JOURNAL)
Journal identifiersISSN: 0735-0015 • E-ISSN: 1537-2707
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/07350015.2024.2394580
OpenAlexW4401885733
LanguageEN
Citations received1
References cited37

This article unifies existing systemic risk measures to present a novel intersecting notion of systemic contagion which captures institutional risk transmission amplified by a distressed financial system. The article constructs a test statistic for systemic contagion which demonstrates its systemic capacity in testing contagion under a series of numerical experiments. Using the new test the article constructs a forward-looking directed network to empirically measure the scale of systemic contagion between leading U.S. financial institutions. The proposed systemic contagion measure stands out as it provides timely warning signals of market crashes including that driven by the recent health-induced financial crisis

Actuarial science · Business · Contagion effect · Data mining · Econometrics · Economics · Financial contagion · Financial crisis · Financial market · Statistic · Statistics · Systemic risk · Banking stability, regulation, efficiency · Complex Systems and Time Series Analysis · Computer Science · Market Dynamics and Volatility · Mathematics · Finance

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