2019-07_Dungey_Islam_Volkov.pdf (3.01 MB)
Crisis transmission: visualizing vulnerability
reportposted on 2023-05-28, 01:33 authored by Dungey, M, Islam, R, Vladimir VolkovVladimir Volkov
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 time-varying 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.
Department/SchoolCentre for Environmental Studies
PublisherUniversity of Tasmania
Place of publicationHobart
Rights statementCopyright 2019 University of Tasmania JEL Classification numbers: C3, C32, C45, C53, D85, G10