Interconnectedness and Contagion Analysis: A Practical Framework

October 11, 2019

Preview Citation

Format: Chicago

. Jana Bricco, and TengTeng Xu. Interconnectedness and Contagion Analysis: A Practical Framework, (USA: International Monetary Fund, 2019) accessed November 21, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.

Subject: Banking, Commercial banks, Financial contagion, Financial institutions, Financial Sector Assessment Program, Financial sector policy and analysis, Stress testing, Systemic risk

Keywords: Bank default probability, Bank distress sensitivity, Bank exposure, Bank-insurance nexus, Bank-investment fund interlinkage, Banks insurer, Commercial banks, Contagion, Cross-border bank contagion, Default threshold, Distress sensitivity, Equity index, Financial contagion, Financial Sector Assessment Program, Financial Stability, Financial Systems, Global, Interconnectedess, Market data, Nexus analysis, Reduce bank exposure, Risk Analysis, Stress testing, Systemic Risk, WP

Publication Details

Pages:

49
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2019/220
Stock No:

WPIEA2019220
ISBN:

9781513516226
ISSN:

1018-5941

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