Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) aris from financial markets, from bank lending, or from both. To achieve this aim we consider a model specification strategy which combines Vector Autoregressive models with network models. The paper contributes to the contagion literature with a model that can consider bank exposures and financial market prices, jointly and not only separately. From an empirical viewpoint, our results show that both bilateral exposures and market prices act as contagion channels in the transmission of shocks arising from a country to other countries.

العنوان

The North American Journal of Economics and Finance

الناشر

Science Direct

بلد الناشر

المملكة المتحدة

Indexing

Thomson Reuters

معامل التأثير

2,772

نوع المنشور

Both (Printed and Online)

المجلد

55

السنة

2021

الصفحات

1-15