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Crisis transmission: Visualizing vulnerability


Dungey, M and Islam, R and Volkov, V, Crisis transmission: Visualizing vulnerability, Pacific Basin Finance Journal, 59 Article 101255. ISSN 0927-538X (2020) [Refereed Article]

Copyright Statement

2019 Elsevier B.V. All rights reserved.

DOI: doi:10.1016/j.pacfin.2019.101255


This paper develops a means of visualizing the vulnerability of complex systems of financial interactions around the globe using Neural Network clustering techniques. We show how timevarying spillover indices can be translated into two dimensional crisis maps. The crisis maps have the advantage of showing the changing paths of vulnerability, including the direction and extent of the effect between source and affected markets. Using equity market data for 31 global markets over 19982017 we provide these crisis maps. These tools help portfolio managers and policy makers to distinguish which of the available tools for crisis management will be most appropriate for the form of vulnerability in play.

Item Details

Item Type:Refereed Article
Keywords:crisis transmission, vulnerability, systemic risk, networks
Research Division:Economics
Research Group:Applied economics
Research Field:Financial economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Dungey, M (Professor Mardi Dungey)
UTAS Author:Islam, R (Mr Raisul Islam)
UTAS Author:Volkov, V (Mr Vladimir Volkov)
ID Code:136103
Year Published:2020
Web of Science® Times Cited:2
Deposited By:Economics and Finance
Deposited On:2019-11-29
Last Modified:2021-08-03

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