Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.

An integrated early warning system for stock market turbulence

“…The switching ARCH (SWARCH) model is adopted to label crisis/noncrisis episodes with high/low volatility regimes that imply market turbulence/tranquility (Hamilton and Susmel, 1994;Hamilton and Gang, 1996;Ramchand and Susmel, 1998;Edwards and Susmel, 2001). The model's effectiveness in depicting Chinese stock crises is explicitly examined in the authors' previous study on the contagion effect among housing, stock, interest rate and currency markets in China and the U.S. (Wang and Zong, 2019). On the other hand, the two-peak method is an automatic thresholding approach (Jain et al, 1995) which selects classification thresholds automatically based on predetermined principles in order to obtain more robust segmentation.…”

Changes in social behavior and impacts of the COVID-19 pandemic on regional housing markets: Independence and risk

“…Therefore, the present study centers on how changes in social behavior and reduced relocation, mobility, and community engagement during the COVID-19 pandemic affect correlations between regional housing markets. Changes in the correlation of regional housing markets result in changes in systemic risk, which is an essential factor in house price volatility behaviour and housing return volatility, especially when significant events occur ( Zhu et al, 2013 , DeFusco et al, 2013 , Wang and Zong, 2020 , Bago et al, 2021 ). Therefore, after verifying the correlation changes in the regional housing market, this paper will examine whether the regional housing return volatility (risk) will also change.…”

Propagation of Bankruptcy Risk over Scale-Free Economic Networks

“…Several methods have been proposed to model or explain the contagion: GARCH [ 12 ], standard quantile and Bayesian quantile regression [ 13 ], non-linear Markov-switching model [ 14 ], agent-based models [ 15 ], copulas [ 16 ], and the canonical model [ 17 ], just to name a few. A unified framework to identify the channels for the international transmission of financial shocks has been provided by [ 18 ], while other contributions investigate the contagion mechanism in different sectors [ 19 ], and countries: in this context, most contributions agree on the fact that macro-prudential authorities have to adopt a pan-European perspective [ 20 ]. In addition, nation-wide assessments have been performed [ 21 ] showing that, say, the risk of cross-border bank contagion in the European Union increased during 1990s.…”