bubbles it is lower. Lower Spillover Persistence also associates with a more fragile system, e.g., a higher probability of …

builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of … Phillips (2015) to date-stamp the origination and termination of the asset price bubbles. Our method relaxed the minimum bubble … duration constraint in the original model, and the empirical application statistically identified the bubbles periods in nine …