Munich Personal RePEc Archive

Tree Networks to Assess Financial Contagion

Ahelegbey, Daniel Felix and Giudici, Paolo (2019): Tree Networks to Assess Financial Contagion.

[thumbnail of MPRA_paper_92632.pdf] PDF

Download (2MB)


We proposes a two-layered tree network model that decomposes financial contagion into a global component, composed of inter-country contagion effects, and a local component, made up of inter-institutional contagion channels. The model is effectively applied to a database containing time series of daily CDS spreads of major European financial institutions (banks and insurance companies), and reveals the importance monitoring both channels to assess financial contagion. The empirical application revealed evidence of a high inter-country and inter-institutional vulnerability at the onset of the global financial crisis in 2008 and during the sovereign crisis in 2011. The result further identifies Belgium and France as central to the inter-country contagion in the Euro area during the financial crisis, while Italy dominated during the sovereign crisis. The French corporates Groupama, Credit Industriel and Caisse d'Epargne were central in the inter-institutional contagion in both crises.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.