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...

We construct a network volatility index (NetVIX) via market interconnectedness and volatilities to measure global market turbulence. The NetVIX multiplicatively decomposes into an average volatility and a network amplifier index. It also additively decomposes into marginal volatility indices for...