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Crisis transmission: Visualizing vulnerability
journal contribution
posted on 2023-05-20, 08:40 authored by Dungey, M, Islam, R, Vladimir VolkovVladimir VolkovThis 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 1998–2017 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.
History
Publication title
Pacific Basin Finance JournalVolume
59Article number
101255Number
101255Pagination
1-22ISSN
0927-538XDepartment/School
TSBEPublisher
Elsevier BVPlace of publication
NetherlandsRights statement
© 2019 Elsevier B.V. All rights reserved.Repository Status
- Restricted