Tail risk contagion between international financial markets during COVID-19 pandemic

By Ping Li, Yanhong Guo, Aihua Li. 2020

171 citations recorded by the source corpus.

Abstract In this paper, we combine the time-varying financial network model and FARM-selection approach to analyze the tail risk contagion between international financial market during the COVID-19 epidemic. Since the tail risk acts as a global transmission channel, we use the sample of 19 international financial markets to explore the contagion of tail risk during the epidemic. We find that the COVID-19 epidemic increases the number of contagion channels in the international financial system. The clustering level of the financial system has a significant growth during the COVID-19 pandemic, and the number of risk drivers is also larger than risk takers. The key financial market of each international financial network is related to the epidemic country. We also consider the tail risk contagion in local financial markets and find that the COVID-19 pandemic has an important influence on the tail risk contagions in local network systems

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/eb56f15ad155d73025547992ad0d50f4594bb7df

Citations in the corpus

• Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “found to be more reactive across the global financial system during COVID-19 (Guo et al., 2021). But should we expect permanent increases in the response sensitivity of these channels moving forward? One the one hand, the world is now aware of how sudden and unexpected events, in a globalized market”