​​​​Emilia Kent

This paper develops a means of visualising the vulnerability of complex systems of financial interactions resulting from the changing risk tolerance of investors. We show how both time-varying risk tolerance and spillover indices can be translated into two-dimensional information transmission and crisis transmission maps, respectively. These maps provide clear visualization showing information transmission predates crisis transmission drawing from conditional signed spillover and risk tolerance indices computed from equity market data for 31 global markets between 1998 and 2020. Furthermore, we take a special look at the COVID-19 pandemic and its impact on the dynamics of systemic crisis transmission.

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https://econpapers.repec.org/paper/taswpaper/34483.htm