As the uncertainty of the global economy intensifies,domestic real economy risks and financial risks may interact and worsen under international risk shocks.Commodity prices are an important channel for transmitting i...As the uncertainty of the global economy intensifies,domestic real economy risks and financial risks may interact and worsen under international risk shocks.Commodity prices are an important channel for transmitting international economic and financial risks.Taking January 2007 to July 2021 as the sample period and using data from nine commodity price indices and banking,diversified finance,and insurance industry indices,this article uses rolling regression method to construct different commodity price risk and financial sector risk indicators.Combined with a vector autoregressive model,the risk contagion effect is calculated.The analysis indicates that there exist significant asymmetric risk contagion effects between various commodities(with energy and steel having the largest risk spillover effects)and there are significant net risk spillover effects on financial sectors(with insurance having the largest risk spillover effect).There are asymmetric risk contagion effects among different financial sectors,with varying degrees of risk spillover effects on commodity prices(with the banking sector having the greatest risk spillover effects on commodity prices and other financial sectors,and diversified finance having the greatest risk spillover effect on commodities).During major global financial events,the risk spillover effects of commodities and input effects increase significantly due to the intensification of the risk spillover effects of energy,steel,and nonferrous metals.The risk spillover effect between commodities and the overall risk spillover effect have significantly increased.The financial sector’s overall net risk input effect has increased,while the net risk input effect of the insurance sector has also increased.These findings are significant for improving systemic financial risk monitoring indicators and adopting accurate prevention and control measures.展开更多
The study of the panic evacuation process is of great significance to emergency management.Panic not only causes negative emotions such as irritability and anxiety,but also affects the pedestrians decision-making proc...The study of the panic evacuation process is of great significance to emergency management.Panic not only causes negative emotions such as irritability and anxiety,but also affects the pedestrians decision-making process,thereby inducing the abnormal crowd behavior.Prompted by the epidemiological SIR model,an extended floor field cellular automaton model was proposed to investigate the pedestrian dynamics under the threat of hazard resulting from the panic contagion.In the model,the conception of panic transmission status(PTS)was put forward to describe pedestrians’behavior who could transmit panic emotions to others.The model also indicated the pedestrian movement was governed by the static and hazard threat floor field.Then rules that panic could influence decision-making process were set up based on the floor field theory.The simulation results show that the stronger the pedestrian panic,the more sensitive pedestrians are to hazards,and the less able to rationally find safe exits.However,when the crowd density is high,the panic contagion has a less impact on the evacuation process of pedestrians.It is also found that when the hazard position is closer to the exit,the panic will propagate for a longer time and have a greater impact on the evacuation.The results also suggest that as the extent of pedestrian’s familiarity with the environment increases,pedestrians spend less time to escape from the room and are less sensitive to the hazard.In addition,it is essential to point out that,compared with the impact of panic contagion,the pedestrian’s familiarity with environment has a more significant influence on the evacuation.展开更多
This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion.This goal is achieved by linking latent-factor and single-equation error correction models and evaluating ...This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion.This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short-and long-term relationships and correlatedness in the linked model.The results demonstrated that a short-term relationship representing the market speed ratio between two markets plays a key role in contagion dynamics.When a long-term relationship or correlatedness is broken(comovement change)due to a break in the short-term relationship(market speed ratio),contagion is highly likely and should be formally declared.Bayesian posterior probabilities were calculated to determine the cause.Furthermore,this study applied this analytical Bayesian approach to empirically test the contagion effects of the U.S.stock market during the global financial crisis between 2007 and 2009 using 22 developed equity markets.展开更多
How does the valuation change of an industry leader influence its competitors?Does it induce a competitive effect or a contagion effect?What are the driving forces of such influences?We attempted to answer these quest...How does the valuation change of an industry leader influence its competitors?Does it induce a competitive effect or a contagion effect?What are the driving forces of such influences?We attempted to answer these questions within digital currency markets.We found that both close and distant competitors against an industry leader experience high competitive effects,while moderate competitors experience high contagion effects.Next,we empirically demonstrated how this Ushaped pattern reduces to a linear relationship depending on the industry concentration.Lastly,we identified eight distinct information categories from a social media platform of the industry leader and compared the influence of the eight information categories on the industry leader’s competitors.Our analysis suggests that the relative importance of the competitive effect to the contagion effect in the industry depends on the category of the information.展开更多
Despite having significant effects on social contagions,individual heterogeneity has frequently been overlooked in earlier studies.To better understand the complexity of social contagions,a non-Markovian model incorpo...Despite having significant effects on social contagions,individual heterogeneity has frequently been overlooked in earlier studies.To better understand the complexity of social contagions,a non-Markovian model incorporating heterogeneous social influence and adoption thresholds is introduced.For theoretical analysis,a generalized edge-based compartmental theory which considers the heterogeneities of social influence and adoption thresholds is developed.Focusing on the final adoption size,the critical propagation probability,and the phase transition type,social contagions for adoption thresholds that follow normal distributions with various standard deviations,follow various distributions,and correlate with degrees are investigated.When thresholds follow normal distributions,a larger standard deviation results in a larger final adoption size when the information propagation probability is relatively low.However,when the information propagation probability is relatively high,a larger standard deviation results in a smaller final adoption size.When thresholds follow various distributions,crossover phenomena in phase transition are observed when investigating the relationship of the final adoption size versus the average adoption threshold for some threshold distributions.When thresholds are correlated with degrees,similar crossover phenomena occur when investigating the relationship of the final adoption size versus the degree correlation index.Additionally,we find that increasing the heterogeneity of social influence suppresses the effects of adoption threshold heterogeneity on social contagions in three cases.Our theory predictions agree well with the simulation results.展开更多
The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market ...The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.展开更多
Limited contact capacity and heterogeneous adoption thresholds have been proven to be two essential characteristics of individuals in natural complex social systems,and their impacts on social contagions exhibit compl...Limited contact capacity and heterogeneous adoption thresholds have been proven to be two essential characteristics of individuals in natural complex social systems,and their impacts on social contagions exhibit complex nature.With this in mind,a heterogeneous contact-limited threshold model is proposed,which adopts one of four threshold distributions,namely Gaussian distribution,log-normal distribution,exponential distribution and power-law distribution.The heterogeneous edge-based compartmental theory is developed for theoretical analysis,and the calculation methods of the final adoption size and outbreak threshold are given theoretically.Many numerical simulations are performed on the Erdös-Renyi and scale-free networks to study the impact of different forms of the threshold distribution on hierarchical spreading´process,the final adoption size,the outbreak threshold and the phase transition in contact-limited propagation networks.We find that the spreading process of social contagions is divided into three distinct stages.Moreover,different threshold distributions cause different spreading processes,especially for some threshold distributions,there is a change from a discontinuous first-order phase transition to a continuous second-order phase transition.Further,we find that changing the standard deviation of different threshold distributions will cause the final adoption size and outbreak threshold to change,and finally tend to be stable with the increase of standard deviation.展开更多
Employing the Differential Dynamics Method, a nonlinear dynamic model is set up to describe the international financial crises contagion within a short time between two countries. The two countries’ control force dep...Employing the Differential Dynamics Method, a nonlinear dynamic model is set up to describe the international financial crises contagion within a short time between two countries. The two countries’ control force depending on the timely financial assistance, the positive attitude and actions to rescue other infected countries, and investor confidence aggregation, and the immunity ability of the infected country are considered as the major reasons to drive the nonlinear fluctuations of the stock return rates in both countries during the crisis. According to the Ordinary Differential Equations Qualitative Theory, we found that there are three cases of financial crises contagion within a brief time between two countries: weak contagion with instability but inhibition, contagion with limit and controllable oscillation, and strong contagion without control in a brief time.展开更多
The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized...The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized logistics model, and analyze all kinds of possible equilibrium conditions. It is probably a new idea of studying currency crisis contagion mechanism.展开更多
The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanc...The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade,and investment trends can spread globally as a result of investors owning international portfolios.This study uses a regime-switching model to illustrate the timing of the crisis regime and calm regime for United States(US)stock index returns and the corresponding impact on Indian stock index returns.The Indian stocks investigated are classified into“remote”and“reachable”stocks,and different effects are found for these two types.It is found that shocks originating in the US can be transferred to the Indian reachable market as a result of foreign investors.There is,however,a less persistent impact on remote stocks.Accordingly,the study contributes to the literature on the material impacts of the crisis resulting from liquidity constraints and fear of contagion among investors.展开更多
In this paper,we study the dynamics of a Susceptible-Exposed-Infectious-Recovered(SEIR)nancial risk contagion model with time delay.Using stability theory and Hopf bifurcation theory,equilibria stability and Hopf bifu...In this paper,we study the dynamics of a Susceptible-Exposed-Infectious-Recovered(SEIR)nancial risk contagion model with time delay.Using stability theory and Hopf bifurcation theory,equilibria stability and Hopf bifurcation are analyzed in detail.Based on the epidemic model,we improve it by taking prior prevention and self-rescue into consideration,conclude pre-ventive intensity and self-rescue capabilities e ect the number of infections.At the same time,the analytical conditions for Hopf bifurcation are obtained,and the relevant results are veri ed by numerical simulations.展开更多
The threats concerning financial stability seriously affect the overall functioning of the economy at a local, regional, national, and continental level instead of a global level, and therefore, the emphasis is laid o...The threats concerning financial stability seriously affect the overall functioning of the economy at a local, regional, national, and continental level instead of a global level, and therefore, the emphasis is laid on analyzing the causes and effects of such threats. Financial crises in the current decade, as well as those in the past have shown that a major cause of instability in the global market is the so-called financial contagion. This leads to a natural question： whether similar authorities could specify and mitigate these shocks through efficient calculation followed by stability measures taken by banking networks. To answer this question, an empirical research was conducted by analyzing the degree of contagion induced by markets in Central and Eastern Europe, based on an econometric model, involving over 17 European countries, from January 2006 to January 2013.展开更多
This research develops a novel cross-disciplinary framework that bridges financial systemic risk modeling with supply chain network analysis to advance resilience assessment and policy guidance.The approach integrates...This research develops a novel cross-disciplinary framework that bridges financial systemic risk modeling with supply chain network analysis to advance resilience assessment and policy guidance.The approach integrates established financial contagion frameworks with the topology of the supply chain network,introducing the concept of“too central to fail”suppliers through systematic importance scoring methodologies.The framework reveals striking asymmetries in supply chain vulnerability patterns.While the majority of suppliers demonstrate systemic importance within network structures,financial fragility analysis indicates remarkable overall network robustness,with minimal nodes exhibiting high vulnerability thresholds.Most significantly,comprehensive stress testing exposes a critical paradox:networks demonstrate moderate resilience to random disruptions yet remain substantially vulnerable to strategic targeting of central nodes.Cascade failure analysis through multiple simulation approaches unveils the dual nature of supply chain risk propagation.Random shock scenarios generate manageable failure rates,while targeted attacks on high-centrality suppliers achieve disproportionate network impact.Most alarmingly,liquidity crisis simulations demonstrate how financial contagion mechanisms can affect nearly half of all network participants,highlighting the interconnected nature of operational and financial vulnerabilities.These findings establish quantitative foundations for the assessment of systemic risk in supply chains,with immediate implications for regulatory frameworks,early warning systems,and resilience enhancement strategies.The integrated financial-operational risk framework advances the theoretical understanding of the propagation of cross-sector vulnerability while providing systematic methodologies for identifying critical suppliers whose failure could trigger systemic collapse.展开更多
We construct a connected network between China and the economies that are financially linked to it,based on the network topology of variance decompositions,and measure the cross-border contagion of financial risks amo...We construct a connected network between China and the economies that are financially linked to it,based on the network topology of variance decompositions,and measure the cross-border contagion of financial risks among these economies.We then examine whether the concerted use of macroprudential policies mitigates the cross-border contagion of financial risks.The empirical results show that the tightening of macroprudential policies,especially counter-cyclical capital buffers and limits on credit growth,in economies with net spillover risk(e.g.the US and China).can reduce the cross-border spillover of domestic financial risks to other economies.The concerted use of macroprudential policies can contribute to global financial stability.However,the tightening of"capital"macroprudential policy tools will increase domestic cross-border absorption of financial risks.Hence,macroprudential regulation of cross-border capital flows must be strengthened.展开更多
What began as a downturn in the US housing sector in the summer of 2007 had mushroomed into a global financial crisis by September 2008： the most severe since the 1930s. Developing countries, including China and Indi...What began as a downturn in the US housing sector in the summer of 2007 had mushroomed into a global financial crisis by September 2008： the most severe since the 1930s. Developing countries, including China and India, at first seemingly sheltered from the worst of the turmoil, have not been immune to the contagion＇s spillover effects. What are China and India＇s precise vulnerabilities, and what can each do to better insulate their economies from the vagaries of global financial marker turmoil？ Equally important, what long-term strategies must each country adopt to make their economies more resilient to global market downturns？展开更多
We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homog...We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homogeneous Markov chain as well as the other default. By using the idea of ＇change of measure＇ and some closed-form formulas for the Laplace transforms of the integrated intensity processes, we derive the two-dimensional conditional and unconditional joint distributions of the default times. Based on these results, we give the explicit formulas for the fair spreads of the first-to-default and second-to-default credit default swaps （CDSs） on two underlyings.展开更多
This paper investigates the informational role of prices in segmented markets which are shocked by a kind of common sentiment resulting from financial contagion.This common sentiment bridges the connection between pri...This paper investigates the informational role of prices in segmented markets which are shocked by a kind of common sentiment resulting from financial contagion.This common sentiment bridges the connection between prices learned by rational traders and thus can weaken the uncertainty from noise shock.The authors find that there exist comovement effect and crowding-out effect in information acquisition among different markets.These two effects capture financial contagion when markets experience large downward or upward tendency,which offers an explanation for market crisis to some extent.展开更多
基金supported by the National Social Science Foundation of China(23FJYA004).
文摘As the uncertainty of the global economy intensifies,domestic real economy risks and financial risks may interact and worsen under international risk shocks.Commodity prices are an important channel for transmitting international economic and financial risks.Taking January 2007 to July 2021 as the sample period and using data from nine commodity price indices and banking,diversified finance,and insurance industry indices,this article uses rolling regression method to construct different commodity price risk and financial sector risk indicators.Combined with a vector autoregressive model,the risk contagion effect is calculated.The analysis indicates that there exist significant asymmetric risk contagion effects between various commodities(with energy and steel having the largest risk spillover effects)and there are significant net risk spillover effects on financial sectors(with insurance having the largest risk spillover effect).There are asymmetric risk contagion effects among different financial sectors,with varying degrees of risk spillover effects on commodity prices(with the banking sector having the greatest risk spillover effects on commodity prices and other financial sectors,and diversified finance having the greatest risk spillover effect on commodities).During major global financial events,the risk spillover effects of commodities and input effects increase significantly due to the intensification of the risk spillover effects of energy,steel,and nonferrous metals.The risk spillover effect between commodities and the overall risk spillover effect have significantly increased.The financial sector’s overall net risk input effect has increased,while the net risk input effect of the insurance sector has also increased.These findings are significant for improving systemic financial risk monitoring indicators and adopting accurate prevention and control measures.
基金supported by the National Key Technology Research and Development Program of China(Grant No.2019YFC0810804)the National Natural Science Foundation of China(Grant No.7197010332)。
文摘The study of the panic evacuation process is of great significance to emergency management.Panic not only causes negative emotions such as irritability and anxiety,but also affects the pedestrians decision-making process,thereby inducing the abnormal crowd behavior.Prompted by the epidemiological SIR model,an extended floor field cellular automaton model was proposed to investigate the pedestrian dynamics under the threat of hazard resulting from the panic contagion.In the model,the conception of panic transmission status(PTS)was put forward to describe pedestrians’behavior who could transmit panic emotions to others.The model also indicated the pedestrian movement was governed by the static and hazard threat floor field.Then rules that panic could influence decision-making process were set up based on the floor field theory.The simulation results show that the stronger the pedestrian panic,the more sensitive pedestrians are to hazards,and the less able to rationally find safe exits.However,when the crowd density is high,the panic contagion has a less impact on the evacuation process of pedestrians.It is also found that when the hazard position is closer to the exit,the panic will propagate for a longer time and have a greater impact on the evacuation.The results also suggest that as the extent of pedestrian’s familiarity with the environment increases,pedestrians spend less time to escape from the room and are less sensitive to the hazard.In addition,it is essential to point out that,compared with the impact of panic contagion,the pedestrian’s familiarity with environment has a more significant influence on the evacuation.
基金HS Lee’s supported by Sejong University.TY Kim’s work was supported by a grant from the National Research Foundation of Korea(NRF-2019R1F1A1060152)。
文摘This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion.This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short-and long-term relationships and correlatedness in the linked model.The results demonstrated that a short-term relationship representing the market speed ratio between two markets plays a key role in contagion dynamics.When a long-term relationship or correlatedness is broken(comovement change)due to a break in the short-term relationship(market speed ratio),contagion is highly likely and should be formally declared.Bayesian posterior probabilities were calculated to determine the cause.Furthermore,this study applied this analytical Bayesian approach to empirically test the contagion effects of the U.S.stock market during the global financial crisis between 2007 and 2009 using 22 developed equity markets.
文摘How does the valuation change of an industry leader influence its competitors?Does it induce a competitive effect or a contagion effect?What are the driving forces of such influences?We attempted to answer these questions within digital currency markets.We found that both close and distant competitors against an industry leader experience high competitive effects,while moderate competitors experience high contagion effects.Next,we empirically demonstrated how this Ushaped pattern reduces to a linear relationship depending on the industry concentration.Lastly,we identified eight distinct information categories from a social media platform of the industry leader and compared the influence of the eight information categories on the industry leader’s competitors.Our analysis suggests that the relative importance of the competitive effect to the contagion effect in the industry depends on the category of the information.
基金Project supported by the National Natural Science Foundation of China(Grant Nos.62266030 and 61863025)。
文摘Despite having significant effects on social contagions,individual heterogeneity has frequently been overlooked in earlier studies.To better understand the complexity of social contagions,a non-Markovian model incorporating heterogeneous social influence and adoption thresholds is introduced.For theoretical analysis,a generalized edge-based compartmental theory which considers the heterogeneities of social influence and adoption thresholds is developed.Focusing on the final adoption size,the critical propagation probability,and the phase transition type,social contagions for adoption thresholds that follow normal distributions with various standard deviations,follow various distributions,and correlate with degrees are investigated.When thresholds follow normal distributions,a larger standard deviation results in a larger final adoption size when the information propagation probability is relatively low.However,when the information propagation probability is relatively high,a larger standard deviation results in a smaller final adoption size.When thresholds follow various distributions,crossover phenomena in phase transition are observed when investigating the relationship of the final adoption size versus the average adoption threshold for some threshold distributions.When thresholds are correlated with degrees,similar crossover phenomena occur when investigating the relationship of the final adoption size versus the degree correlation index.Additionally,we find that increasing the heterogeneity of social influence suppresses the effects of adoption threshold heterogeneity on social contagions in three cases.Our theory predictions agree well with the simulation results.
文摘The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.
基金supported by the National Natural Science Foundation of China(Grant Nos.62072412,61902359,61672467,and 61672468)the Social Development Project of Zhejiang Provincial Public Technology Research(Grant No.2016C33168)+1 种基金Zhejiang Provincial Natural Science Foundation of China(Grant No.LQ19F030010)the Opening Project of Shanghai Key Laboratory of Integrated Administration Technologies for Information Security(Grant No.AGK2018001).
文摘Limited contact capacity and heterogeneous adoption thresholds have been proven to be two essential characteristics of individuals in natural complex social systems,and their impacts on social contagions exhibit complex nature.With this in mind,a heterogeneous contact-limited threshold model is proposed,which adopts one of four threshold distributions,namely Gaussian distribution,log-normal distribution,exponential distribution and power-law distribution.The heterogeneous edge-based compartmental theory is developed for theoretical analysis,and the calculation methods of the final adoption size and outbreak threshold are given theoretically.Many numerical simulations are performed on the Erdös-Renyi and scale-free networks to study the impact of different forms of the threshold distribution on hierarchical spreading´process,the final adoption size,the outbreak threshold and the phase transition in contact-limited propagation networks.We find that the spreading process of social contagions is divided into three distinct stages.Moreover,different threshold distributions cause different spreading processes,especially for some threshold distributions,there is a change from a discontinuous first-order phase transition to a continuous second-order phase transition.Further,we find that changing the standard deviation of different threshold distributions will cause the final adoption size and outbreak threshold to change,and finally tend to be stable with the increase of standard deviation.
文摘Employing the Differential Dynamics Method, a nonlinear dynamic model is set up to describe the international financial crises contagion within a short time between two countries. The two countries’ control force depending on the timely financial assistance, the positive attitude and actions to rescue other infected countries, and investor confidence aggregation, and the immunity ability of the infected country are considered as the major reasons to drive the nonlinear fluctuations of the stock return rates in both countries during the crisis. According to the Ordinary Differential Equations Qualitative Theory, we found that there are three cases of financial crises contagion within a brief time between two countries: weak contagion with instability but inhibition, contagion with limit and controllable oscillation, and strong contagion without control in a brief time.
文摘The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized logistics model, and analyze all kinds of possible equilibrium conditions. It is probably a new idea of studying currency crisis contagion mechanism.
文摘The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade,and investment trends can spread globally as a result of investors owning international portfolios.This study uses a regime-switching model to illustrate the timing of the crisis regime and calm regime for United States(US)stock index returns and the corresponding impact on Indian stock index returns.The Indian stocks investigated are classified into“remote”and“reachable”stocks,and different effects are found for these two types.It is found that shocks originating in the US can be transferred to the Indian reachable market as a result of foreign investors.There is,however,a less persistent impact on remote stocks.Accordingly,the study contributes to the literature on the material impacts of the crisis resulting from liquidity constraints and fear of contagion among investors.
基金Supported by National Natural Science Foundation of China(12272062).
文摘In this paper,we study the dynamics of a Susceptible-Exposed-Infectious-Recovered(SEIR)nancial risk contagion model with time delay.Using stability theory and Hopf bifurcation theory,equilibria stability and Hopf bifurcation are analyzed in detail.Based on the epidemic model,we improve it by taking prior prevention and self-rescue into consideration,conclude pre-ventive intensity and self-rescue capabilities e ect the number of infections.At the same time,the analytical conditions for Hopf bifurcation are obtained,and the relevant results are veri ed by numerical simulations.
文摘The threats concerning financial stability seriously affect the overall functioning of the economy at a local, regional, national, and continental level instead of a global level, and therefore, the emphasis is laid on analyzing the causes and effects of such threats. Financial crises in the current decade, as well as those in the past have shown that a major cause of instability in the global market is the so-called financial contagion. This leads to a natural question： whether similar authorities could specify and mitigate these shocks through efficient calculation followed by stability measures taken by banking networks. To answer this question, an empirical research was conducted by analyzing the degree of contagion induced by markets in Central and Eastern Europe, based on an econometric model, involving over 17 European countries, from January 2006 to January 2013.
文摘This research develops a novel cross-disciplinary framework that bridges financial systemic risk modeling with supply chain network analysis to advance resilience assessment and policy guidance.The approach integrates established financial contagion frameworks with the topology of the supply chain network,introducing the concept of“too central to fail”suppliers through systematic importance scoring methodologies.The framework reveals striking asymmetries in supply chain vulnerability patterns.While the majority of suppliers demonstrate systemic importance within network structures,financial fragility analysis indicates remarkable overall network robustness,with minimal nodes exhibiting high vulnerability thresholds.Most significantly,comprehensive stress testing exposes a critical paradox:networks demonstrate moderate resilience to random disruptions yet remain substantially vulnerable to strategic targeting of central nodes.Cascade failure analysis through multiple simulation approaches unveils the dual nature of supply chain risk propagation.Random shock scenarios generate manageable failure rates,while targeted attacks on high-centrality suppliers achieve disproportionate network impact.Most alarmingly,liquidity crisis simulations demonstrate how financial contagion mechanisms can affect nearly half of all network participants,highlighting the interconnected nature of operational and financial vulnerabilities.These findings establish quantitative foundations for the assessment of systemic risk in supply chains,with immediate implications for regulatory frameworks,early warning systems,and resilience enhancement strategies.The integrated financial-operational risk framework advances the theoretical understanding of the propagation of cross-sector vulnerability while providing systematic methodologies for identifying critical suppliers whose failure could trigger systemic collapse.
基金the Humanities and Social Science Fund Project of Ministry of Education of China(No.20YJA790003)the Natural Science Foundation of Shandong Province(No.ZR2020MG039)the Future Plan for Young Scholars of Shandong University(No.2016WLJH05).
文摘We construct a connected network between China and the economies that are financially linked to it,based on the network topology of variance decompositions,and measure the cross-border contagion of financial risks among these economies.We then examine whether the concerted use of macroprudential policies mitigates the cross-border contagion of financial risks.The empirical results show that the tightening of macroprudential policies,especially counter-cyclical capital buffers and limits on credit growth,in economies with net spillover risk(e.g.the US and China).can reduce the cross-border spillover of domestic financial risks to other economies.The concerted use of macroprudential policies can contribute to global financial stability.However,the tightening of"capital"macroprudential policy tools will increase domestic cross-border absorption of financial risks.Hence,macroprudential regulation of cross-border capital flows must be strengthened.
文摘What began as a downturn in the US housing sector in the summer of 2007 had mushroomed into a global financial crisis by September 2008： the most severe since the 1930s. Developing countries, including China and India, at first seemingly sheltered from the worst of the turmoil, have not been immune to the contagion＇s spillover effects. What are China and India＇s precise vulnerabilities, and what can each do to better insulate their economies from the vagaries of global financial marker turmoil？ Equally important, what long-term strategies must each country adopt to make their economies more resilient to global market downturns？
基金Acknowledgements The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province （Grant No. BK20130260）, the National Natural Science Foundation of China （Grant No. 11301369）, and the China Postdoctoral Science Foundation （Grant No. 2013M540371）. The research of Guojing Wang was supported by the National Natural Science Foundation of China （Grant No. 11371274） and the Natural Science Foundation of Jiangsu Province （Grant No. BK2012613）.
文摘We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homogeneous Markov chain as well as the other default. By using the idea of ＇change of measure＇ and some closed-form formulas for the Laplace transforms of the integrated intensity processes, we derive the two-dimensional conditional and unconditional joint distributions of the default times. Based on these results, we give the explicit formulas for the fair spreads of the first-to-default and second-to-default credit default swaps （CDSs） on two underlyings.
基金supported by the National Natural Science Foundation of China under Grant No.71771008the Central University Fund under Grant No.PTRW1808+1 种基金the Fundamental Research Funds for the Central Universities under Grant No.XK1802-5the Supporting Plan for Top Talents in Humanities and Social Sciences under Grant No.YWF-19-BJ-W-45
文摘This paper investigates the informational role of prices in segmented markets which are shocked by a kind of common sentiment resulting from financial contagion.This common sentiment bridges the connection between prices learned by rational traders and thus can weaken the uncertainty from noise shock.The authors find that there exist comovement effect and crowding-out effect in information acquisition among different markets.These two effects capture financial contagion when markets experience large downward or upward tendency,which offers an explanation for market crisis to some extent.
