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Calm before the storm: an early warning approach before and during the COVID-19 crisis

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Abstract
This paper develops a means of visualising the vulnerability of complex systems of financial interactions resulting from the changing risk tolerance of investors. The investors’ risk behavior contributes to the buildup of vulnerability in crisis and in calm periods. We show how both time-varying risk tolerance and spillover indices can be translated into two-dimensional information transmission and crisis transmission maps, respectively. Taken together, the information transmission maps have the advantage of highlighting potential crisis transmission pathways in the crisis transmission maps. 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. We examine if investors’ risk preference induces a crisis and to what extent such a predictor may be related to a pandemic. 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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  • Islam, Raisul & Volkov, Vladimir, 2020. "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers 2020-09, University of Tasmania, Tasmanian School of Business and Economics.
    • Handle: RePEc:tas:wpaper:34483
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    More about this item

    Keywords

    Systemic risk; networks; COVID-19;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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