Search results for "Contagion"
showing 10 items of 56 documents
Contagion and Bank Runs in a Multi-Agent Financial System
2012
In this work we explore contagion from one institution to another that can stem from the existence of a network of financial contracts. In fact, in modern financial systems, an intricate web of claims and obligations links the balance sheets of a wide variety of intermediaries (banks, for instance) into a network structure of interdependencies that have created an environment for feedback elements to generate amplified responses to shocks to the financial system. Small shocks, which initially affect only a few institutions, can indeed spread by contagion to the rest of the financial sector and cause a crisis in the connected intermediaries. Whether the financial crisis does spread depends c…
Volatility co-movements: a time scale decomposition analysis
2014
In this paper we are interested in detecting contagion from US to European stock market volatilities in the period immediately after the Lehman Brothers’ collapse. The analysis, based on a factor decomposition of the covariance matrix of implied and realized volatilities, is carried for different sub-samples (identified as normal and crisis periods) and across different (high) frequency bands. In particular, the analysis is split in two stages. In the first stage, we retrieve the time series of wavelet coefficients for each volatility series for high frequency scales, using the Maximal Overlapping Discrete Wavelet transform and, in a second stage, we apply Maximum Likelihood for a factor de…
Testing for contagion: a time-scale decomposition
2011
The aim of the paper is to test for financial contagion by estimating a simultaneous equation model subject to structural breaks. For this purpose, we use the Maximum Overlapping Discrete Wavelet Transform, MODWT, to decompose four asset returns into different scale components (each associated with a given frequency range). The decomposition will enable us to obtain the moment conditions necessary to (over)identify a structural form model with a single dummy and the one with multiple dummies capturing shifts in the co-movement of asset returns occurring during periods of financial turmoil. A Montecarlo simulation exercise shows that test based on a single dummy structural form model has goo…
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
2021
AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes (SRIs), viz. Marginal Expected Shortfall (MES), Delta Conditional Value-at-Risk (Delta-CoVaR), and Conditional Capital Shortfall Measure of Systemic Risk (SRISK) in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogou…
Facebook’s Emotional Contagion Experiment as a Challenge to Research Ethics
2016
This article analyzes the ethical discussion focusing on the Facebook emotional contagion experiment published by the <em>Proceedings of the National Academy of Sciences</em> in 2014. The massive-scale experiment manipulated the News Feeds of a large amount of Facebook users and was successful in proving that emotional contagion happens also in online environments. However, the experiment caused ethical concerns within and outside academia mainly for two intertwined reasons, the first revolving around the idea of research as manipulation, and the second focusing on the problematic definition of informed consent. The article concurs with recent research that the era of social med…
Bitcoin and stock market indices: analysis of volatility’s clusters during the bitcoin bubble based on the dynamic conditional correlation model
2019
The market of virtual currencies, called cryptocurrency, has grown immensely since 2008 in terms of market capitalisation and the numbers of new currencies. Bitcoin is one of the most famous cryptocurrency with an estimated market capitalisation of nearly $ 69 billion. The fact that Bitcoin prices have fallen about 70% from their peak value and most indices were down double-digit year to date (2018) with a high daily volatility create the appearance that there has to be a correlation. The purpose of this paper is to investigate the contagion effect between Bitcoin prices and the leading American, European and Asian equity markets using the dynamic conditional correlation (DCC) model propose…
Tickle contagion in the somatosensory cortex
2021
AbstractThe cellular mechanisms of emotional contagion are unknown. We investigated tickle contagion and the underlying neuronal representations in rats. We recorded trunk somatosensory cortex activity of observer rats while they received tickling, audio-visual playback of tickling footage, and while they witnessed tickling of demonstrator rats. Observers vocalized, and showed “Freudensprünge” (“joy jumps”) during witnessing live tickling, while they showed little behavioral responses to playbacks. A fraction of trunk somatosensory neurons responded to both direct and witnessed tickling in action-specific manner. The correlation between direct and witnessed tickling responses increased towa…
Cultural Contagion from Micro to Macro: A Semiopragmatics Approach
2017
International audience; Although cultures are a group-based process, cultural change occurs on the level of the individual, through micro-level interactions which give rise to new representations. Based on the semiopragmatics approach to communications, this contribution will theorize this process of cultural evolution, linked to the phenomenon of contagion, notably assisted by media and internet-based communication, based on examples of recent emerging cultural trends.
Being Moved by Unfamiliar Sad Music Is Associated with High Empathy
2016
The paradox of enjoying listening to music that evokes sadness is yet to be fully understood. Unlike prior studies that have explored potential explanations related to lyrics, memories, and mood regulation, we investigated the types of emotions induced by unfamiliar, instrumental sad music, and whether these responses are consistently associated with certain individual difference variables. One hundred and two participants were drawn from a representative sample to minimize self-selection bias. The results suggest that the emotional responses induced by unfamiliar sad music could be characterized in terms of three underlying factors: Relaxing sadness, Moving sadness, and Nervous sadness. Re…
Empathic Relationships in Professional Services and the Moderating Role of Relationship Age
2016
Empathy has been identified as a key success factor for employees who interact with customers. Despite its overall relevance, only a few studies have acknowledged its multidimensional nature. Knowledge remains scarce about the relative impact of cognitive and affective empathy on relational outcomes. In addition, few pieces of research have explicitly acknowledged empathy as theorized within stage-models focusing on the communication of empathy. The authors conceptualize empathy as a multidimensional construct perceived by the client. Empathy has to be communicated to be effective, while customers’ perceptions of empathy may also be more complex as they distinguish between cognitive and aff…