Systemic Contagion
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.
Authors
- Soon Heng Leong (ORCID: https://orcid.org/0000-0002-9282-4183)
Institutions
- ESCP Business School (GB)
- ESCP Business School (DE)
Publication Details
- Journal
- Journal of Business and Economic Statistics
- Published
- 2024-08-26
- DOI
- https://doi.org/10.1080/07350015.2024.2394580
- Citations
- 2
- Primary Topic
- Banking stability, regulation, efficiency
- Type
- article
- Field-Weighted Citation Impact
- 1.08