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Optimization and Control for Systems in the Big-Data Era pp 61–84Cite as

Measurements of Financial Contagion: A Primary Review from the Perspective of Structural Break

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Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 252))

Abstract

Financial contagion is an attractive topic in recent years, since it is one of the most important issues closely related to the financial systemic risk that could seriously hurt the economy. This review aims to summarize and clarify the different concepts and measurements of financial contagion investigated in the literatures and try to highlight their common feature and differences. Noting that “structural break” is the essential feature used to define financial contagion, most of the measurements of financial contagion proposed in the literature are along the line of modeling structural break according to different mechanisms. Although, a few measurements could be used to investigate financial contagion, there remain hardships in real applications. The emerging “Big Data” technology might be helpful to refine both the research and the practice of risk management relevant to financial contagion in model specification and information acquisition.

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Notes

  1. 1.

    The model can be extended to allow for a richer set of factors, including observed fundamentals (Eichengreen et al. 1996), trade linkages (Glick and Rose 1999; Pesaran and Pick 2007), financial flows (Van-Rijckeghem and Weder 2001), geographical distance (Bayoumi et al. 2003), and Fama–French factors (Flood and Rose 2004)

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Acknowledgements

This research is partially supported by NSF of China, under project number 71471180.

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Authors and Affiliations

  1. Department of Finance and Investment, Sun Yat-Sen Business School, Sun Yat-Sen University, Guangzhou, 510275, China

    Xi Pei & Shushang Zhu

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  1. Xi Pei
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Correspondence to Shushang Zhu .

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Editors and Affiliations

  1. Institute of Textiles and Clothing, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong

    Tsan-Ming Choi

  2. School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai, China

    Jianjun Gao

  3. Department of Systems and Information Engineering, University of Virginia, Charlottesville, Virginia, USA

    James H. Lambert

  4. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong

    Chi-Kong Ng

  5. Department of Management Science and Engineering, Business School, Qingdao University, Shandong, China

    Jun Wang

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Pei, X., Zhu, S. (2017). Measurements of Financial Contagion: A Primary Review from the Perspective of Structural Break. In: Choi, TM., Gao, J., Lambert, J., Ng, CK., Wang, J. (eds) Optimization and Control for Systems in the Big-Data Era. International Series in Operations Research & Management Science, vol 252. Springer, Cham. https://doi.org/10.1007/978-3-319-53518-0_5

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