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Empirical Modeling Of Contagion
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Book Synopsis Empirical Modeling of Contagion by : Mardi Dungey
Download or read book Empirical Modeling of Contagion written by Mardi Dungey and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate testing, endogeneity issues, and structural breaks.
Book Synopsis Empirical Modeling of Contagion: A Review of Methodologies by : Mardi Dungey
Download or read book Empirical Modeling of Contagion: A Review of Methodologies written by Mardi Dungey and published by INTERNATIONAL MONETARY FUND. This book was released on 2004-05-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate testing, endogeneity issues, and structural breaks.
Book Synopsis Empirical Modeling of Contagion by :
Download or read book Empirical Modeling of Contagion written by and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contagion, Common Exposure, and Selection by : Robert J. Franzese
Download or read book Contagion, Common Exposure, and Selection written by Robert J. Franzese and published by . This book was released on 2009 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides overview for lay audiences of the empirical modeling of the spatial and spatiotemporal interdependence that is substantively and theoretically ubiquitous, indeed inherently central, in political science.
Book Synopsis Empirical Modeling of Deprivation Contagion Among Social Exclusion Dimensions (Using MCMC Methods) by : Xavier Ramos Morilla
Download or read book Empirical Modeling of Deprivation Contagion Among Social Exclusion Dimensions (Using MCMC Methods) written by Xavier Ramos Morilla and published by . This book was released on 2004 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Modelling of Contagion by :
Download or read book Empirical Modelling of Contagion written by and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Financial Contagion by : Stijn Claessens
Download or read book International Financial Contagion written by Stijn Claessens and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Book Synopsis Transmission of Financial Crises and Contagion: by : Mardi Dungey
Download or read book Transmission of Financial Crises and Contagion: written by Mardi Dungey and published by Oxford University Press. This book was released on 2011-01-07 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.
Book Synopsis Complex Spreading Phenomena in Social Systems by : Sune Lehmann
Download or read book Complex Spreading Phenomena in Social Systems written by Sune Lehmann and published by Springer. This book was released on 2018-06-21 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text is about spreading of information and influence in complex networks. Although previously considered similar and modeled in parallel approaches, there is now experimental evidence that epidemic and social spreading work in subtly different ways. While previously explored through modeling, there is currently an explosion of work on revealing the mechanisms underlying complex contagion based on big data and data-driven approaches. This volume consists of four parts. Part 1 is an Introduction, providing an accessible summary of the state of the art. Part 2 provides an overview of the central theoretical developments in the field. Part 3 describes the empirical work on observing spreading processes in real-world networks. Finally, Part 4 goes into detail with recent and exciting new developments: dedicated studies designed to measure specific aspects of the spreading processes, often using randomized control trials to isolate the network effect from confounders, such as homophily. Each contribution is authored by leading experts in the field. This volume, though based on technical selections of the most important results on complex spreading, remains quite accessible to the newly interested. The main benefit to the reader is that the topics are carefully structured to take the novice to the level of expert on the topic of social spreading processes. This book will be of great importance to a wide field: from researchers in physics, computer science, and sociology to professionals in public policy and public health.
Book Synopsis Unanticipated Shocks and Systemic Influences by : Mr.Mardi Dungey
Download or read book Unanticipated Shocks and Systemic Influences written by Mr.Mardi Dungey and published by International Monetary Fund. This book was released on 2003-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial countries providing the dominant cross-country transmission linkages. Both crises reinforced each other, highlighting the importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial countries are potentially misspecified and may yield misleading outcomes.
Book Synopsis The Uncertainty Channel of Contagion by : Mr.Prakash Kannan
Download or read book The Uncertainty Channel of Contagion written by Mr.Prakash Kannan and published by International Monetary Fund. This book was released on 2009-10-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2007 subprime crisis in the U.S. triggered a succession of financial crises around the globe, reigniting interest in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where the degree of anticipation of crises, through its impact on investor uncertainty, determines the occurrence of contagion. Incidences of surprise crises lead investors to doubt the accuracy of their informationgathering technology, which endogenously increases the probability of crises elsewhere. Anticipated crisis, instead, have the opposite effect. Importantly, this channel is empirically shown to have an independent effect beyond other contagion channels.
Download or read book Contagion written by Jon Wongswan and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Using the conditional Capital Asset Pricing Model (CAPM), this paper tests for the existence and pattern of contagion and capital market integration in global equity markets. Contagion is defined as significant excess conditional correlation among different countries' asset returns above what could be explained by economic fundamentals (systematic risks). Capital market integration is defined as the situation in which only systematic risks are priced. The paper uses a panel of sixteen countries, divided into three blocs: Asia, Latin America, and Germany-U.K.-U.S., for the period from 1990 through 1999. The results show evidence of contagion and capital market integration. In addition, contagion is found to be a regional phenomenon"--Federal Reserve Board web site.
Book Synopsis Complex Contagion In Social Networks by : Christopher John Cameron
Download or read book Complex Contagion In Social Networks written by Christopher John Cameron and published by . This book was released on 2016 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work improves the applicability of complex contagion theory to empirical data by examining the assumptions of previous models of complex contagion and developing methods for measuring theoretically relevant quantities from observational data. I consider the dynamics of complex contagion processes on networks with different distributions of tie range. Following prior work, I explore the impact of permuting networks to induce more long range ties but also examine the contagion motifs and larger scale dynamics observed during the contagion life-cycle. I identify a mechanism-the formation of persistent locally isolated clusters-that triggers sudden mid-life-cycle increases in the rate of contagion on networks with some long range ties. I argue that both the number and the distribution of long range ties is critical to development of such clusters. A survey of tie range distributions in empirical social networks revealed a consistent qualitative pattern where the range of long range ties is decidedly shorter than previous complex contagion models assumed. Next, I examine contagion dynamics on networks with more realistic distributions of tie range. Even though the neighborhood-to-node contagion motifs are substantially the same on both types of networks, realistic tie range distributions virtually eliminate the endogenous development of the clusters. Contagion on these networks is more robust to permutation but does not produce the mid-cycle accelerations found in networks with uniformly random permu- tation. Finally, I identify a measurement issue that biases estimates of node thresholds from observed exposure at activation. I show the bias can be reduced by collecting additional data about non-activating exposures and using only a subset of observations to produce the estimates. The empirically informed models presented in this work provide new insight about the potential outcome and dynamics of complex contagion processes in human social networks. Improved estimation techniques for node thresholds allow particular cases of empirical contagion to be described in terms of complex contagion theory. The results support an ongoing research program in complex contagion.
Book Synopsis A Statistical Model to Monitor COVID-19 Contagion Growth by : Arianna Agosto
Download or read book A Statistical Model to Monitor COVID-19 Contagion Growth written by Arianna Agosto and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a statistical model which can be employed to monitor the time evolution of the COVID-19 contagion curve, and of the associated reproduction rate R0. The model is a Poisson autoregression of the daily new observed cases and can, differently from classical exponential growth models, dynamically adapt its estimates to explain the evolution of contagion in different time periods and locations, allowing for the comparative evaluation of health policy measures. We have applied the model to the first two months of data from the countries most hit by the virus. Our empirical findings show that the proposed model is able to identify where a country lies on the contagion curve, at each point in time: behind a peak, on a peak, and after a peak. Based on this positioning, we draw three main health policy conclusions that can be useful for all countries in the world. First, countries that are still behind the peak (e.g. France and the United Kingdom) should maintain strong containment measures, such as diffuse testing and lockdown. Second, countries that are on the peak and have experienced a steep contagion growth (e.g. Italy, Spain and the United States), could partially relax containment measures but must couple them with continuous monitoring of the growth curve. Third, in countries that have experienced a less steep contagion growth (e.g. Germany) the approach to restrictive measures could be more cautious since there is a risk that social costs outweigh the benefits. Last, countries that have passed the peak (e.g. China) should relax containment measures, but continue statistical monitoring.
Download or read book Thought Contagion written by Aaron Lynch and published by . This book was released on 2008-08-06 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fans of Douglas Hofstadter, Daniel Bennet, and Richard Dawkins (as well as science buffs and readers of Wired Magazine) will revel in Aaron Lynch’s groundbreaking examination of memetics--the new study of how ideas and beliefs spread. What characterizes a meme is its capacity for displacing rival ideas and beliefs in an evolutionary drama that determines and changes the way people think. Exactly how do ideas spread, and what are the factors that make them genuine thought contagions? Why, for instance, do some beliefs spread throughout society, while others dwindle to extinction? What drives those intensely held beliefs that spawn ideological and political debates such as views on abortion and opinions about sex and sexuality?By drawing on examples from everyday life, Lynch develops a conceptual basis for understanding memetics. Memes evolve by natural selection in a process similar to that of Genes in evolutionary biology. What makes an idea a potent meme is how effectively it out-propagates other ideas. In memetic evolution, the "fittest ideas” are not always the truest or the most helpful, but the ones best at self replication.Thus, crash diets spread not because of lasting benefit, but by alternating episodes of dramatic weight loss and slow regain. Each sudden thinning provokes onlookers to ask, "How did you do it?” thereby manipulating them to experiment with the diet and in turn, spread it again. The faster the pounds return, the more often these people enter that disseminating phase, all of which favors outbreaks of the most pathogenic diets. Like a software virus traveling on the Internet or a flu strain passing through a city, thought contagions proliferate by programming for their own propagation. Lynch argues that certain beliefs spread like viruses and evolve like microbes, as mutant strains vie for more adherents and more hosts. In its most revolutionary aspect, memetics asks not how people accumulate ideas, but how ideas accumulate people. Readers of this intriguing theory will be amazed to discover that many popular beliefs about family, sex, politics, religion, health, and war have succeeded by their "fitness” as thought contagions.
Book Synopsis Contagion and Correlation in Empirical Models of Bank Credit Risk in Israel by : Michael Beenstock
Download or read book Contagion and Correlation in Empirical Models of Bank Credit Risk in Israel written by Michael Beenstock and published by . This book was released on 2018 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a methodology for analyzing bank credit risk in Israel, which distinguishes between contagion and correlation on the one hand, and risk factors that are macroeconomic, sectoral and idiosyncratic on the other. Credit risk may be correlated because the observed and unobserved drivers of credit risk happen to be correlated, or because they are causally related through contagion. Bank credit risk is measured by the proportion of problem loans in credit sectors of Israel's banking system. Contagion is malignant and infectious if credit risk in one sector increases credit risk in other sectors. Contagion is benign and immunizing if credit risk in one sector reduces credit risk in other sectors. In some sectors, such as construction, credit risk is highly contagious and malign. On the other hand, credit risk elsewhere immunizes credit risk in the construction sector through benign contagion. According to our results there are two aspects related to the construction sector. First, construction is greatly over-represented in bank credit risk. Second, credit risk in construction is highly contagious relative to other sectors. By contrast, our results suggest that the growth in mortgages is unlikely to be a major problem if monetary policy is normalized: Credit risk among persons is less contagious than among construction companies. In some sectors, such as hospitality, credit risk is not contagious but is highly volatile. Although contagion increases volatility, it makes little difference to the correlation between bank credit risks because benign and malignant contagion offset each other. This systemic methodology may be used by banks for stress-testing and in fulfillment of their obligations under Basel III.
Book Synopsis Contagion, Spillover and Interdependence by : Roberto Rigobón
Download or read book Contagion, Spillover and Interdependence written by Roberto Rigobón and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
