This paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of...

The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

In the context of an ever-evolving global economy, ASEAN companies face dynamic systemic risk that reshapes their financial interrelationships. This study examines the transmission of these risks using advanced graph theory techniques, particularly the measurement of eigenvector centrality based...

In this paper, we explore the relationship between node nestedness contribution and network stability in financial networks. We rely on data from the Brazilian interbank market. For each bank in the network, we computed the individual nestedness contribution (INC), along with two measures of...

We estimate a structural model derived from the balance sheet identity to evaluate the effects of contagion and common exposure on banks' capital, which varies endogenously as a function of assets and liabilities. Through a regression approach inspired by the literature on structural vector...

We extend the Schumpeter meeting Keynes (K+S; see Dosi et al., 2010, 2013, 2015) to model the emergence and the dynamics of an interbank network in the money market. The extended model allows banks to directly exchange funds, while evaluating their interbank positions using a network- based...

The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly...

This paper examines the consequences of Chinese regulators deviating from a long-standing full bailout policy in addressing the distress of a city-level commercial bank. This policy shift led to a persistent widening of credit spreads and a significant decline in funding ratios for negotiable...

Systematic risks in cryptocurrency markets have recently increased and have been gaining a rising number of connections with economics and financial markets; however, in this area, climate shocks could be a new kind of impact factor. In this paper, a spillover network based on a time-varying...

We construct an extensive database of domestic financial reforms spanning 90 countries from 1973 to 2014. Utilizing this dataset, we estimate a structural model that incorporates various factors identified in the existing literature to explain the global contagion of financial reforms. Our...

This paper documents the extension of the system-wide stress testing framework of the ECB with the insurance sector for a more thorough assessment of risks to financial stability. The special nature of insurers is captured by the modelling of the liability side and its loss absorbing capacity of...