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.

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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
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article

Systemic Contagion

Soon Heng Leong
2 citations
Journal of Business and Economic Statistics
Banking stability, regulation, efficiency
1.08
article

Systemic Contagion

Soon Heng Leong
article en
2 citations

Abstract

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.

Journal of Business and Economic StatisticsVol. 43(2)
ESCP Business School (GB), ESCP Business School (DE)
Good health and well-being
Openalex Percentile: Top 21%
Banking stability, regulation, efficiency
1.08
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Systemic Contagion — Soon Heng Leong · Journal of Business and Economic Statistics (2024) | TGRS Research Map | TGRS