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Crisis transmission degree measurement under crisis propagation model

Author

Listed:
  • Imen Bedoui-Belghith

    (University of Susa)

  • Slaheddine Hallara

    (University of Tunis)

  • Faouzi Jilani

    (University of Tunis El Manar)

Abstract

In this paper, we propose a new approach to studying the spread of financial crises, their effects, and origins. To do this, an empirical measure of the degree of crisis transmission is introduced in the context of a crisis propagation model that corresponds to a multifactorial switching model with random endogenous transition variable. The latter is modeled as a diffusion process and allows us to determine whether crisis transmission is perfect, partial, or weak and whether it is due to contagion or interdependence effects. In addition, the model takes into account the relative impact of idiosyncratic and global factors in crisis and non-crisis periods, as well as any lag in the crisis transmission process. We used the genetic algorithm as an empirical method, because it uses probabilistic rather than deterministic transition rules, which is appropriate for our work. Our results suggest that the subprime crisis is perfectly or partially transmitted to developed markets and interdependence effects are due to most of them. However, the transmission to emerging markets is only partial or weak and, in most cases, due to contagion effects. Moreover, the significance of the coefficients of idiosyncratic factors was not related to crisis effects. For many countries, these coefficients were higher than the coefficients of the global factors, while crisis transmission was due to contagion effects. Our results exceed those of alternative studies on crisis transmission and provide important portfolio and risk management insights. By understanding the crisis transmission mechanism, investors and risk managers can make appropriate decisions to hedge against market downturns and reduce risk out of the country.

Suggested Citation

  • Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
  • Handle: RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9
    DOI: 10.1007/s43546-022-00361-9
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    Keywords

    Crisis transmission; Crisis transmission degree; Crisis transmission magnitude; Idiosyncratic and global factors; Multifactorial switching regimes model; Diffusion process; Crisis effects; Developed; emerging and frontiers markets;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • F3 - International Economics - - International Finance
    • F6 - International Economics - - Economic Impacts of Globalization

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