Model of Financial Crisis Contagion: A Survey-based Simulation by Means of the Modified Kaplan-Meier Survival Plots

• Authors: Paulina Roszkowska , Łukasz Prorokowski
• Languages of publication: EN

Abstracts

EN

The aim of this paper is to present a broad picture and novel aspects of the financial crisis contagion with respect to the stages of crisis contagion and its propagation factors. We employ a pioneering approach to a simulation of the financial crisis contagion by embarking on a qualitative query rather than on empirical data (i.e. by adopting an international investor’s perspective by conducting the qualitative query backed by semi-structured interviews with financial markets’ participants). Building on modified Kaplan-Meier Survival Plots, we suggest a model for the financial crisis contagion based on international linkages between markets, with particular attention paid to spot vulnerabilities in regulatory frameworks that allowed for the crisis to spread. Simulation results showed that there were several phases of crisis contagion in Europe, and different countries (regions) were contained via different paths, propagated by different factors with not equal intensity. The diversity of European countries’ susceptibility is evident not only when comparing advanced markets to the emerging ones, but also within these groups. Hereto, both international investment practitioners, as well as pan European market authorities should analyse with scrutiny the links emerging from the simulation, so that to develop sound and efficient investment strategies or impose tailor-made regulations for financial markets.

Keywords

EN

Capital Markets; Financial Crisis; Crisis Contagion; Cross-Market Surveillance; Financial Market Linkages; Trading Strategies

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2014
• Volume: 13
• Issue: 1
• Pages: 22-55

Dates

published

2013-12-01

online

2014-03-25

Contributors

author

Paulina Roszkowska

• Warsaw School of Economics Institute of Value Creation Al. Niepodlegosci 162, 02-554 Warszawa, Poland

author

Łukasz Prorokowski

• Independent Banking Consultant 45 St. Paul’s Close, W5 3JQ, London, United Kingdom

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Identifiers

DOI

10.2478/foli-2013-0006